UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22019
First Trust Exchange-Traded AlphaDEX® Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) | The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) |
First Trust Consumer Staples AlphaDEX® Fund (FXG) |
First Trust Energy AlphaDEX® Fund (FXN) |
First Trust Financials AlphaDEX® Fund (FXO) |
First Trust Health Care AlphaDEX® Fund (FXH) |
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) |
First Trust Materials AlphaDEX® Fund (FXZ) |
First Trust Technology AlphaDEX® Fund (FXL) |
First Trust Utilities AlphaDEX® Fund (FXU) |
Sector Funds
Annual Report
July 31, 2023
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Annual Letter from the Chairman and CEO
July 31, 2023
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Annual Report
July 31, 2023
Senior Vice President and Chief Market Strategist
First Trust Advisors L.P.
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 16.93% | 7.14% | 8.04% | 7.56% | 41.18% | 116.66% | 226.25% |
Market Price | 16.97% | 7.14% | 8.04% | 7.56% | 41.20% | 116.63% | 226.30% |
Index Performance | |||||||
StrataQuant® Consumer Discretionary Index | 17.74% | 7.80% | 8.73% | 8.30% | 45.57% | 130.90% | 264.60% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Consumer Discretionary Index | 7.43% | 10.09% | 12.62% | 11.08% | 61.73% | 228.32% | 450.60% |
Russell 1000® Consumer Discretionary Index(1) | 9.23% | 10.79% | 12.38% | N/A | 66.93% | 221.17% | N/A |
(1) | On or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (“RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000® Consumer Discretionary and Services Index to the Russell 1000® Consumer Discretionary Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Consumer Discretionary Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Consumer Discretionary AlphaDEX® Fund (“FXD”). Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXD particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXD or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXD into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXD to be issued or in the determination or calculation of the equation by which FXD is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXD. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Consumer Discretionary | 77.2% |
Industrials | 10.9 |
Communication Services | 10.8 |
Consumer Staples | 1.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Wayfair, Inc., Class A | 1.6% |
DraftKings, Inc., Class A | 1.6 |
Uber Technologies, Inc. | 1.5 |
Under Armour, Inc., Class A | 1.5 |
Thor Industries, Inc. | 1.5 |
Harley-Davidson, Inc. | 1.5 |
Penn Entertainment, Inc. | 1.5 |
PulteGroup, Inc. | 1.5 |
Skechers U.S.A., Inc., Class A | 1.4 |
Royal Caribbean Cruises Ltd. | 1.4 |
Total | 15.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 2.87% | 8.61% | 8.56% | 9.04% | 51.16% | 127.38% | 307.50% |
Market Price | 2.84% | 8.63% | 8.55% | 9.04% | 51.24% | 127.17% | 307.35% |
Index Performance | |||||||
StrataQuant® Consumer Staples Index | 3.47% | 9.25% | 9.24% | 9.80% | 55.66% | 141.98% | 355.95% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Consumer Staples Index | 5.41% | 10.66% | 9.41% | 9.67% | 65.93% | 145.73% | 347.27% |
Russell 1000® Consumer Staples Index(1) | 5.48% | 9.67% | 8.78% | N/A | 58.63% | 131.93% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Consumer Staples Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Consumer Staples AlphaDEX® Fund (“FXG”). Neither FTP, the Trust, nor FXG is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXG particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXG or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXG into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXG to be issued or in the determination or calculation of the equation by which FXG is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXG. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Consumer Staples | 87.1% |
Health Care | 10.5 |
Materials | 2.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Pilgrim’s Pride Corp. | 4.7% |
Bunge Ltd. | 4.7 |
Archer-Daniels-Midland Co. | 4.6 |
Tyson Foods, Inc., Class A | 4.4 |
Ingredion, Inc. | 4.3 |
Casey’s General Stores, Inc. | 4.2 |
AmerisourceBergen Corp. | 3.9 |
Celsius Holdings, Inc. | 3.9 |
Darling Ingredients, Inc. | 3.5 |
CVS Health Corp. | 3.5 |
Total | 41.7% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 6.38% | 3.09% | -0.62% | 0.60% | 16.42% | -6.02% | 10.12% |
Market Price | 6.45% | 3.08% | -0.62% | 0.60% | 16.37% | -6.05% | 10.13% |
Index Performance | |||||||
StrataQuant® Energy Index | 7.04% | 3.74% | -0.05% | 1.23% | 20.13% | -0.45% | 21.86% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Energy Index | 16.25% | 7.83% | 4.62% | 4.88% | 45.80% | 57.05% | 116.67% |
Russell 1000® Energy Index(1) | 13.37% | 7.20% | 4.00% | N/A | 41.55% | 47.98% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000® Integrated Oils Index and the Russell 1000® Other Energy Index into one index, the Russell 1000® Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Energy Index because this index did not exist until on or about September 18, 2008. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Energy Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Energy AlphaDEX® Fund (“FXN”). Neither FTP, the Trust, nor FXN is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXN particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXN or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXN into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXN to be issued or in the determination or calculation of the equation by which FXN is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXN. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Energy | 96.8% |
Industrials | 1.7 |
Information Technology | 1.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Ovintiv, Inc. | 4.6% |
HF Sinclair Corp. | 4.4 |
Antero Resources Corp. | 4.4 |
Coterra Energy, Inc. | 4.1 |
Southwestern Energy Co. | 4.1 |
PDC Energy, Inc. | 4.0 |
EQT Corp. | 3.9 |
Chesapeake Energy Corp. | 3.8 |
Phillips 66 | 3.5 |
Marathon Oil Corp. | 3.4 |
Total | 40.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 3.24% | 8.01% | 9.92% | 6.64% | 47.02% | 157.51% | 183.81% |
Market Price | 3.24% | 8.00% | 9.91% | 6.64% | 46.94% | 157.19% | 183.72% |
Index Performance | |||||||
StrataQuant® Financials Index | 3.80% | 8.73% | 10.66% | 7.46% | 51.93% | 175.44% | 221.55% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Financials Index | 7.09% | 7.11% | 10.06% | 3.05% | 40.97% | 160.90% | 62.92% |
Russell 1000® Financials Index(1) | 8.51% | 10.22% | 11.59% | N/A | 62.70% | 199.32% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Financials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. On September 18, 2020, the name of the Russell 1000® Financial Services Index was changed to Russell 1000® Financials Index. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Financials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Financials AlphaDEX® Fund (“FXO”). Neither FTP, the Trust, nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXO particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXO or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXO into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXO to be issued or in the determination or calculation of the equation by which FXO is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXO. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Financials | 99.4% |
Industrials | 0.6 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Western Alliance Bancorp | 2.2% |
Zions Bancorp N.A. | 2.2 |
KeyCorp | 2.0 |
Comerica, Inc. | 1.9 |
New York Community Bancorp, Inc. | 1.9 |
Popular, Inc. | 1.8 |
Ally Financial, Inc. | 1.7 |
First Citizens BancShares, Inc., Class A | 1.7 |
Brighthouse Financial, Inc. | 1.7 |
Truist Financial Corp. | 1.7 |
Total | 18.8% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | -1.69% | 6.80% | 9.62% | 10.91% | 38.97% | 150.66% | 437.22% |
Market Price | -1.74% | 6.80% | 9.62% | 10.91% | 38.94% | 150.46% | 437.17% |
Index Performance | |||||||
StrataQuant® Health Care Index | -1.06% | 7.52% | 10.34% | 11.70% | 43.68% | 167.61% | 502.25% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Health Care Index | 3.03% | 10.59% | 12.10% | 10.39% | 65.43% | 213.40% | 397.53% |
Russell 1000® Health Care Index(1) | 3.16% | 10.43% | 12.15% | N/A | 64.21% | 214.88% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Health Care Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Health Care AlphaDEX® Fund (“FXH”). Neither FTP, the Trust, nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXH particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXH or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXH into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXH to be issued or in the determination or calculation of the equation by which FXH is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXH. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Health Care | 100.0% |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
United Therapeutics Corp. | 2.2% |
Viatris, Inc. | 2.1 |
Medpace Holdings, Inc. | 2.1 |
Exact Sciences Corp. | 2.1 |
DaVita, Inc. | 2.0 |
Premier, Inc., Class A | 2.0 |
Pfizer, Inc. | 2.0 |
Encompass Health Corp. | 1.9 |
Moderna, Inc. | 1.9 |
Cardinal Health, Inc. | 1.9 |
Total | 20.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 16.23% | 9.46% | 10.81% | 8.09% | 57.13% | 179.10% | 253.26% |
Market Price | 16.25% | 9.45% | 10.81% | 8.09% | 57.08% | 179.03% | 253.32% |
Index Performance | |||||||
StrataQuant® Industrials Index | 17.15% | 10.18% | 11.57% | 8.86% | 62.38% | 198.80% | 296.48% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Industrials Index | 17.62% | 9.59% | 11.29% | 8.65% | 58.09% | 191.32% | 284.45% |
Russell 1000® Industrials Index(1) | 13.38% | 7.45% | 10.45% | N/A | 43.23% | 170.09% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Industrials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. On September 18, 2020, the name of the Russell 1000® Producer Durables Index was changed to Russell 1000® Industrials Index. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Industrials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Industrials/Producer Durables AlphaDEX® Fund (“FXR”). Neither FTP, the Trust, nor FXR is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXR particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXR or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXR into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXR to be issued or in the determination or calculation of the equation by which FXR is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXR. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Industrials | 70.1% |
Materials | 12.8 |
Financials | 9.6 |
Consumer Discretionary | 3.8 |
Information Technology | 3.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Saia, Inc. | 1.5% |
Ryder System, Inc. | 1.5 |
EMCOR Group, Inc. | 1.4 |
Packaging Corp. of America | 1.4 |
Knight-Swift Transportation Holdings, Inc. | 1.4 |
Schneider National, Inc., Class B | 1.3 |
Owens Corning | 1.3 |
Builders FirstSource, Inc. | 1.3 |
MDU Resources Group, Inc. | 1.3 |
United Rentals, Inc. | 1.3 |
Total | 13.7% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 12.41% | 11.34% | 10.93% | 9.41% | 71.11% | 182.15% | 330.19% |
Market Price | 12.41% | 11.33% | 10.92% | 9.41% | 71.03% | 181.85% | 330.19% |
Index Performance | |||||||
StrataQuant® Materials Index | 13.01% | 12.10% | 11.69% | 10.20% | 77.02% | 202.14% | 383.75% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Materials Index | 12.16% | 9.85% | 10.07% | 7.23% | 59.95% | 161.04% | 210.60% |
Russell 1000® Basic Materials Index(1) | 14.62% | 9.89% | 10.27% | N/A | 60.26% | 165.92% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Basic Materials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. On September 18, 2020, the name of the Russell 1000® Materials and Processing Index was changed to Russell 1000® Basic Materials Index. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Materials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Materials AlphaDEX® Fund (“FXZ”). Neither FTP, the Trust, nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXZ particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXZ or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXZ into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXZ to be issued or in the determination or calculation of the equation by which FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXZ. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Materials | 92.1% |
Industrials | 7.9 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
CF Industries Holdings, Inc. | 5.3% |
Mosaic (The) Co. | 5.2 |
Westlake Corp. | 5.2 |
International Paper Co. | 5.1 |
Nucor Corp. | 4.7 |
United States Steel Corp. | 4.6 |
Steel Dynamics, Inc. | 4.4 |
Olin Corp. | 3.5 |
Celanese Corp. | 3.4 |
Reliance Steel & Aluminum Co. | 3.4 |
Total | 44.8% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 15.36% | 16.54% | 17.01% | 11.99% | 115.01% | 380.93% | 528.50% |
Market Price | 15.37% | 16.54% | 17.00% | 11.99% | 114.93% | 380.55% | 528.49% |
Index Performance | |||||||
StrataQuant® Technology Index | 16.02% | 17.23% | 17.70% | 12.78% | 121.44% | 410.39% | 603.99% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Information Technology Index | 26.85% | 21.96% | 21.69% | 15.39% | 169.79% | 611.86% | 920.22% |
Russell 1000® Technology Index(1) | 29.00% | 21.35% | 21.13% | N/A | 163.15% | 579.76% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Technology Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Technology AlphaDEX® Fund (“FXL”). Neither FTP, the Trust, nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXL particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXL or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXL into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXL to be issued or in the determination or calculation of the equation by which FXL is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXL. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 85.8% |
Industrials | 8.2 |
Communication Services | 2.5 |
Consumer Discretionary | 1.9 |
Financials | 1.6 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Palantir Technologies, Inc., Class A | 2.1% |
DoorDash, Inc., Class A | 1.9 |
HubSpot, Inc. | 1.7 |
DoubleVerify Holdings, Inc. | 1.7 |
Vertiv Holdings Co. | 1.7 |
Broadcom, Inc. | 1.7 |
Skyworks Solutions, Inc. | 1.7 |
Concentrix Corp. | 1.6 |
MongoDB, Inc. | 1.6 |
Jabil, Inc. | 1.6 |
Total | 17.3% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | -3.01% | 7.02% | 7.75% | 6.14% | 40.42% | 111.03% | 163.03% |
Market Price | -3.04% | 7.03% | 7.75% | 6.14% | 40.42% | 111.03% | 163.00% |
Index Performance | |||||||
StrataQuant® Utilities Index | -2.41% | 7.70% | 8.48% | 6.96% | 44.88% | 125.78% | 197.91% |
Russell 1000® Index | 12.95% | 11.92% | 12.44% | 9.24% | 75.60% | 222.94% | 319.78% |
S&P 500® Utilities Index | -6.44% | 8.36% | 9.21% | 6.77% | 49.39% | 141.27% | 189.72% |
Russell 1000® Utilities Index(1) | -5.52% | 8.18% | 7.97% | N/A | 48.14% | 115.25% | N/A |
(1) | On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Utilities Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Utilities AlphaDEX® Fund (“FXU”). Neither FTP, the Trust, nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXU particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXU or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXU into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXU to be issued or in the determination or calculation of the equation by which FXU is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXU. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
Sector Allocation | % of Total Long-Term Investments |
Utilities | 92.6% |
Industrials | 7.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Vistra Corp. | 4.4% |
Consolidated Edison, Inc. | 4.3 |
National Fuel Gas Co. | 4.2 |
Evergy, Inc. | 4.2 |
OGE Energy Corp. | 4.1 |
Brookfield Renewable Corp., Class A | 4.0 |
Avangrid, Inc. | 4.0 |
Clearway Energy, Inc., Class C | 3.8 |
Sunrun, Inc. | 3.5 |
Entergy Corp. | 3.4 |
Total | 39.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Sector Funds
Understanding Your Fund Expenses
July 31, 2023 (Unaudited)
As a shareholder of First Trust Consumer Discretionary AlphaDEX® Fund, First Trust Consumer Staples AlphaDEX® Fund, First Trust Energy AlphaDEX® Fund, First Trust Financials AlphaDEX® Fund, First Trust Health Care AlphaDEX® Fund, First Trust Industrials/Producer Durables AlphaDEX® Fund, First Trust Materials AlphaDEX® Fund, First Trust Technology AlphaDEX® Fund or First Trust Utilities AlphaDEX® Fund (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) | ||||
Actual | $1,000.00 | $1,047.00 | 0.61% | $3.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.77 | 0.61% | $3.06 |
First Trust Consumer Staples AlphaDEX® Fund (FXG) | ||||
Actual | $1,000.00 | $1,021.70 | 0.63% | $3.16 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.67 | 0.63% | $3.16 |
First Trust Energy AlphaDEX® Fund (FXN) | ||||
Actual | $1,000.00 | $1,016.50 | 0.64% | $3.20 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | 0.64% | $3.21 |
First Trust Financials AlphaDEX® Fund (FXO) | ||||
Actual | $1,000.00 | $926.30 | 0.62% | $2.96 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.72 | 0.62% | $3.11 |
First Trust Health Care AlphaDEX® Fund (FXH) | ||||
Actual | $1,000.00 | $948.10 | 0.62% | $2.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.72 | 0.62% | $3.11 |
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) | ||||
Actual | $1,000.00 | $1,094.90 | 0.61% | $3.17 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.77 | 0.61% | $3.06 |
Sector Funds
Understanding Your Fund Expenses (Continued)
July 31, 2023 (Unaudited)
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Materials AlphaDEX® Fund (FXZ) | ||||
Actual | $1,000.00 | $976.80 | 0.62% | $3.04 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.72 | 0.62% | $3.11 |
First Trust Technology AlphaDEX® Fund (FXL) | ||||
Actual | $1,000.00 | $1,183.20 | 0.62% | $3.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.72 | 0.62% | $3.11 |
First Trust Utilities AlphaDEX® Fund (FXU) | ||||
Actual | $1,000.00 | $979.40 | 0.64% | $3.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | 0.64% | $3.21 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Automobile Components — 2.6% | |||||
366,195 | BorgWarner, Inc. | $17,028,068 | |||
274,826 | Gentex Corp. | 9,228,657 | |||
84,024 | Lear Corp. | 13,003,554 | |||
39,260,279 | |||||
Automobiles — 6.1% | |||||
797,244 | Ford Motor Co. | 10,531,593 | |||
521,369 | General Motors Co. | 20,004,928 | |||
570,978 | Harley-Davidson, Inc. | 22,045,461 | |||
61,437 | Tesla, Inc. (a) | 16,430,097 | |||
194,246 | Thor Industries, Inc. | 22,433,471 | |||
91,445,550 | |||||
Broadline Retail — 5.0% | |||||
123,369 | Amazon.com, Inc. (a) | 16,491,968 | |||
693,241 | Coupang, Inc. (a) | 12,582,324 | |||
697,757 | Kohl’s Corp. | 19,851,187 | |||
1,252,579 | Macy’s, Inc. | 20,780,285 | |||
69,402 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 5,058,018 | |||
74,763,782 | |||||
Commercial Services & Supplies — 1.6% | |||||
132,244 | Copart, Inc. (a) | 11,689,047 | |||
67,014 | RB Global, Inc. | 4,321,063 | |||
187,752 | Rollins, Inc. | 7,665,914 | |||
23,676,024 | |||||
Consumer Staples Distribution & Retail — 1.1% | |||||
63,815 | BJ’s Wholesale Club Holdings, Inc. (a) | 4,231,573 | |||
14,943 | Costco Wholesale Corp. | 8,378,092 | |||
28,013 | Dollar Tree, Inc. (a) | 4,323,246 | |||
16,932,911 | |||||
Distributors — 1.5% | |||||
23,755 | Genuine Parts Co. | 3,699,129 | |||
207,008 | LKQ Corp. | 11,341,968 | |||
21,465 | Pool Corp. | 8,258,444 | |||
23,299,541 | |||||
Diversified Consumer Services — 1.7% | |||||
130,475 | Bright Horizons Family Solutions, Inc. (a) | 12,659,989 | |||
116,872 | Grand Canyon Education, Inc. (a) | 12,686,456 | |||
25,346,445 | |||||
Entertainment — 4.9% | |||||
220,655 | Live Nation Entertainment, Inc. (a) | 19,362,476 | |||
27,381 | Netflix, Inc. (a) | 12,019,438 |
Shares | Description | Value | |||
Entertainment (Continued) | |||||
346,614 | Playtika Holding Corp. (a) | $4,138,571 | |||
99,766 | ROBLOX Corp., Class A (a) | 3,915,816 | |||
125,220 | Spotify Technology S.A. (a) | 18,709,120 | |||
45,036 | Walt Disney (The) Co. (a) | 4,003,250 | |||
111,202 | World Wrestling Entertainment, Inc., Class A | 11,676,210 | |||
73,824,881 | |||||
Ground Transportation — 4.4% | |||||
87,920 | Avis Budget Group, Inc. (a) | 19,367,897 | |||
1,093,198 | Hertz Global Holdings, Inc. (a) | 18,420,386 | |||
419,268 | Lyft, Inc., Class A (a) | 5,328,896 | |||
465,697 | Uber Technologies, Inc. (a) | 23,033,374 | |||
66,150,553 | |||||
Hotels, Restaurants & Leisure — 22.1% | |||||
94,125 | Airbnb, Inc., Class A (a) | 14,324,884 | |||
4,473 | Booking Holdings, Inc. (a) | 13,288,388 | |||
173,887 | Boyd Gaming Corp. | 11,879,960 | |||
315,540 | Caesars Entertainment, Inc. (a) | 18,623,171 | |||
7,515 | Chipotle Mexican Grill, Inc. (a) | 14,746,534 | |||
34,210 | Choice Hotels International, Inc. | 4,472,957 | |||
86,669 | Churchill Downs, Inc. | 10,040,604 | |||
72,198 | Darden Restaurants, Inc. | 12,195,686 | |||
756,642 | DraftKings, Inc., Class A (a) | 24,046,083 | |||
147,032 | Expedia Group, Inc. (a) | 18,015,831 | |||
55,244 | Hilton Worldwide Holdings, Inc. | 8,589,890 | |||
35,092 | Hyatt Hotels Corp., Class A | 4,433,874 | |||
138,653 | Las Vegas Sands Corp. (a) | 8,292,836 | |||
87,555 | Marriott International, Inc., Class A | 17,669,474 | |||
131,055 | Marriott Vacations Worldwide Corp. | 16,841,878 | |||
274,643 | MGM Resorts International | 13,943,625 | |||
923,467 | Norwegian Cruise Line Holdings Ltd. (a) | 20,380,917 | |||
836,625 | Penn Entertainment, Inc. (a) | 21,994,871 | |||
193,794 | Royal Caribbean Cruises Ltd. (a) | 21,144,863 | |||
107,431 | Texas Roadhouse, Inc. | 11,983,928 | |||
199,340 | Travel + Leisure Co. | 8,119,118 | |||
31,942 | Vail Resorts, Inc. | 7,522,022 | |||
184,867 | Wendy’s (The) Co. | 3,972,792 | |||
80,347 | Wingstop, Inc. | 13,544,897 | |||
58,639 | Wyndham Hotels & Resorts, Inc. | 4,569,151 | |||
76,140 | Wynn Resorts Ltd. | 8,297,737 | |||
332,935,971 | |||||
Household Durables — 8.6% | |||||
165,203 | D.R. Horton, Inc. | 20,984,085 | |||
77,106 | Garmin Ltd. | 8,164,754 | |||
407,236 | Leggett & Platt, Inc. | 11,915,726 | |||
160,432 | Lennar Corp., Class A | 20,347,591 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Household Durables (Continued) | |||||
2,534 | NVR, Inc. (a) | $15,980,519 | |||
258,806 | PulteGroup, Inc. | 21,840,638 | |||
200,689 | Tempur Sealy International, Inc. | 8,956,750 | |||
254,252 | Toll Brothers, Inc. | 20,424,063 | |||
128,614,126 | |||||
Leisure Products — 1.5% | |||||
205,777 | Mattel, Inc. (a) | 4,383,050 | |||
132,999 | Polaris, Inc. | 18,066,584 | |||
22,449,634 | |||||
Media — 5.9% | |||||
354,776 | Fox Corp., Class A | 11,867,257 | |||
104,221 | Interpublic Group of (The) Cos., Inc. | 3,567,485 | |||
491,393 | Liberty Media Corp.-Liberty SiriusXM (a) | 15,641,039 | |||
102,104 | New York Times (The) Co., Class A | 4,161,759 | |||
412,390 | News Corp., Class A | 8,173,570 | |||
96,563 | Nexstar Media Group, Inc. | 18,030,243 | |||
42,262 | Omnicom Group, Inc. | 3,576,211 | |||
887,594 | Sirius XM Holdings, Inc. (b) | 4,526,729 | |||
208,271 | Trade Desk (The), Inc., Class A (a) | 19,006,812 | |||
88,551,105 | |||||
Passenger Airlines — 3.8% | |||||
75,603 | Alaska Air Group, Inc. (a) | 3,676,574 | |||
1,120,629 | American Airlines Group, Inc. (a) | 18,770,536 | |||
422,885 | Delta Air Lines, Inc. | 19,562,660 | |||
222,084 | Southwest Airlines Co. | 7,586,389 | |||
146,561 | United Airlines Holdings, Inc. (a) | 7,959,728 | |||
57,555,887 | |||||
Specialty Retail — 18.0% | |||||
228,785 | Advance Auto Parts, Inc. | 17,019,316 | |||
97,699 | AutoNation, Inc. (a) | 15,727,585 | |||
1,611 | AutoZone, Inc. (a) | 3,998,051 | |||
107,226 | Bath & Body Works, Inc. | 3,973,796 | |||
98,124 | Best Buy Co., Inc. | 8,149,198 | |||
96,072 | CarMax, Inc. (a) | 7,936,508 | |||
121,665 | Dick’s Sporting Goods, Inc. | 17,154,765 | |||
20,457 | Five Below, Inc. (a) | 4,262,011 | |||
154,702 | Floor & Decor Holdings, Inc., Class A (a) | 17,767,525 | |||
900,520 | Gap (The), Inc. | 9,275,356 | |||
66,106 | Lithia Motors, Inc. | 20,527,896 | |||
35,629 | Lowe’s Cos., Inc. | 8,346,806 | |||
64,616 | Murphy USA, Inc. | 19,839,050 | |||
8,417 | O’Reilly Automotive, Inc. (a) | 7,792,374 |
Shares | Description | Value | |||
Specialty Retail (Continued) | |||||
96,518 | Penske Automotive Group, Inc. | $15,579,936 | |||
903,545 | Petco Health & Wellness Co., Inc. (a) | 7,372,927 | |||
36,600 | RH (a) | 14,207,022 | |||
35,853 | Ross Stores, Inc. | 4,110,188 | |||
94,841 | TJX (The) Cos., Inc. | 8,206,592 | |||
8,540 | Ulta Beauty, Inc. (a) | 3,798,592 | |||
692,052 | Victoria’s Secret & Co. (a) | 14,180,145 | |||
309,242 | Wayfair, Inc., Class A (a) | 24,080,675 | |||
128,518 | Williams-Sonoma, Inc. | 17,817,736 | |||
271,124,050 | |||||
Textiles, Apparel & Luxury Goods — 10.0% | |||||
448,122 | Capri Holdings Ltd. (a) | 16,540,183 | |||
166,147 | Carter’s, Inc. | 12,462,686 | |||
156,167 | Columbia Sportswear Co. | 12,276,288 | |||
71,513 | Crocs, Inc. (a) | 7,748,433 | |||
30,478 | Deckers Outdoor Corp. (a) | 16,570,584 | |||
21,252 | Lululemon Athletica, Inc. (a) | 8,044,520 | |||
141,961 | PVH Corp. | 12,725,384 | |||
65,214 | Ralph Lauren Corp. | 8,564,555 | |||
381,775 | Skechers U.S.A., Inc., Class A (a) | 21,219,054 | |||
281,834 | Tapestry, Inc. | 12,161,137 | |||
2,784,486 | Under Armour, Inc., Class A (a) | 22,442,957 | |||
150,755,781 | |||||
Trading Companies & Distributors — 1.1% | |||||
96,094 | SiteOne Landscape Supply, Inc. (a) | 16,335,980 | |||
Total Common Stocks | 1,503,022,500 | ||||
(Cost $1,329,517,285) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
401,181 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | 401,181 | |||
1,691,679 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | 1,691,679 | |||
Total Money Market Funds | 2,092,860 | ||||
(Cost $2,092,860) |
Portfolio of Investments (Continued)
July 31, 2023
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 0.3% | |||||
$3,966,383 | BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $3,966,960. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $4,045,799. (d) | $3,966,383 | |||
(Cost $3,966,383) | |||||
Total Investments — 100.3% | 1,509,081,743 | ||||
(Cost $1,335,576,528) | |||||
Net Other Assets and Liabilities — (0.3)% | (4,903,187 ) | ||||
Net Assets — 100.0% | $1,504,178,556 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $4,242,777 and the total value of the collateral held by the Fund is $4,367,564. |
(c) | Rate shown reflects yield as of July 31, 2023. |
(d) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,503,022,500 | $1,503,022,500 | $— | $— |
Money Market Funds | 2,092,860 | 2,092,860 | — | — |
Repurchase Agreements | 3,966,383 | — | 3,966,383 | — |
Total Investments | $1,509,081,743 | $1,505,115,360 | $3,966,383 | $— |
* | See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $4,242,777 |
Non-cash Collateral(2) | (4,242,777 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $3,966,383 |
Non-cash Collateral(4) | (3,966,383 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Beverages — 9.0% | |||||
178,399 | Celsius Holdings, Inc. (a) | $25,814,335 | |||
88,398 | Coca-Cola (The) Co. | 5,474,488 | |||
21,627 | Constellation Brands, Inc., Class A | 5,899,846 | |||
170,236 | Keurig Dr Pepper, Inc. | 5,789,726 | |||
185,344 | Monster Beverage Corp. (a) | 10,655,427 | |||
28,739 | PepsiCo, Inc. | 5,387,413 | |||
59,021,235 | |||||
Chemicals — 2.4% | |||||
278,701 | Corteva, Inc. | 15,727,098 | |||
Consumer Staples Distribution & Retail — 17.3% | |||||
731,872 | Albertsons Cos., Inc., Class A | 15,903,579 | |||
109,135 | Casey’s General Stores, Inc. | 27,574,049 | |||
173,906 | Grocery Outlet Holding Corp. (a) | 5,817,156 | |||
453,034 | Kroger (The) Co. | 22,035,574 | |||
353,461 | Performance Food Group Co. (a) | 21,122,829 | |||
143,484 | Sysco Corp. | 10,949,264 | |||
241,963 | US Foods Holding Corp. (a) | 10,339,079 | |||
113,741,530 | |||||
Food Products — 53.5% | |||||
352,246 | Archer-Daniels-Midland Co. | 29,926,820 | |||
282,095 | Bunge Ltd. | 30,655,264 | |||
349,362 | Campbell Soup Co. | 16,007,767 | |||
473,588 | Conagra Brands, Inc. | 15,538,422 | |||
333,795 | Darling Ingredients, Inc. (a) | 23,115,304 | |||
641,864 | Flowers Foods, Inc. | 15,860,459 | |||
242,657 | Freshpet, Inc. (a) | 17,844,996 | |||
208,205 | General Mills, Inc. | 15,561,242 | |||
42,636 | Hershey (The) Co. | 9,862,133 | |||
397,056 | Hormel Foods Corp. | 16,231,649 | |||
251,214 | Ingredion, Inc. | 27,950,069 | |||
599,795 | Kraft Heinz (The) Co. | 21,700,583 | |||
185,234 | Lamb Weston Holdings, Inc. | 19,195,799 | |||
145,961 | Mondelez International, Inc., Class A | 10,820,089 | |||
1,238,523 | Pilgrim’s Pride Corp. (a) | 30,678,215 | |||
245,729 | Post Holdings, Inc. (a) | 20,960,684 | |||
521,472 | Tyson Foods, Inc., Class A | 29,056,420 | |||
350,965,915 | |||||
Health Care Providers & Services — 10.5% | |||||
138,315 | AmerisourceBergen Corp. | 25,851,073 | |||
308,008 | CVS Health Corp. | 23,005,118 | |||
49,831 | McKesson Corp. | 20,051,994 | |||
68,908,185 | |||||
Household Products — 3.9% | |||||
106,217 | Church & Dwight Co., Inc. | 10,161,780 |
Shares | Description | Value | |||
Household Products (Continued) | |||||
33,471 | Clorox (The) Co. | $5,070,187 | |||
38,557 | Kimberly-Clark Corp. | 4,977,709 | |||
35,080 | Procter & Gamble (The) Co. | 5,483,004 | |||
25,692,680 | |||||
Tobacco — 3.3% | |||||
235,019 | Altria Group, Inc. | 10,674,563 | |||
109,056 | Philip Morris International, Inc. | 10,875,064 | |||
21,549,627 | |||||
Total Common Stocks | 655,606,270 | ||||
(Cost $631,780,054) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
715,715 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 715,715 | |||
(Cost $715,715) | |||||
Total Investments — 100.0% | 656,321,985 | ||||
(Cost $632,495,769) | |||||
Net Other Assets and Liabilities — 0.0% | 205,613 | ||||
Net Assets — 100.0% | $656,527,598 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $655,606,270 | $655,606,270 | $— | $— |
Money Market Funds | 715,715 | 715,715 | — | — |
Total Investments | $656,321,985 | $656,321,985 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Electrical Equipment — 1.7% | |||||
486,951 | ChargePoint Holdings, Inc. (a) (b) | $4,216,996 | |||
411,963 | Plug Power, Inc. (a) (b) | 5,404,954 | |||
9,621,950 | |||||
Energy Equipment & Services — 8.1% | |||||
135,405 | Baker Hughes Co. | 4,846,145 | |||
259,496 | Halliburton Co. | 10,141,104 | |||
800,546 | NOV, Inc. | 16,074,964 | |||
174,276 | Schlumberger Ltd. | 10,167,262 | |||
257,546 | TechnipFMC PLC (a) | 4,723,393 | |||
45,952,868 | |||||
Oil, Gas & Consumable Fuels — 88.6% | |||||
737,972 | Antero Midstream Corp. | 8,811,386 | |||
929,291 | Antero Resources Corp. (a) | 24,858,534 | |||
250,524 | APA Corp. | 10,143,717 | |||
56,194 | Cheniere Energy, Inc. | 9,095,561 | |||
255,747 | Chesapeake Energy Corp. | 21,569,702 | |||
108,817 | Chevron Corp. | 17,808,990 | |||
123,941 | ConocoPhillips | 14,590,335 | |||
845,899 | Coterra Energy, Inc. | 23,296,058 | |||
265,631 | Devon Energy Corp. | 14,344,074 | |||
130,339 | Diamondback Energy, Inc. | 19,201,542 | |||
259,039 | DT Midstream, Inc. | 13,863,767 | |||
112,197 | EOG Resources, Inc. | 14,869,468 | |||
520,333 | EQT Corp. | 21,947,646 | |||
119,728 | Exxon Mobil Corp. | 12,839,631 | |||
31,481 | Hess Corp. | 4,776,612 | |||
479,747 | HF Sinclair Corp. | 24,990,021 | |||
745,700 | Kinder Morgan, Inc. | 13,206,347 | |||
743,757 | Marathon Oil Corp. | 19,538,496 | |||
146,839 | Marathon Petroleum Corp. | 19,532,524 | |||
159,830 | New Fortress Energy, Inc. | 4,563,147 | |||
218,380 | Occidental Petroleum Corp. | 13,786,329 | |||
138,696 | ONEOK, Inc. | 9,298,180 | |||
562,166 | Ovintiv, Inc. | 25,910,231 | |||
300,839 | PDC Energy, Inc. | 22,830,672 | |||
179,501 | Phillips 66 | 20,023,337 | |||
82,632 | Pioneer Natural Resources Co. | 18,647,563 | |||
582,353 | Range Resources Corp. | 18,303,355 | |||
3,560,967 | Southwestern Energy Co. (a) | 23,075,066 | |||
112,490 | Targa Resources Corp. | 9,223,055 | |||
145,957 | Valero Energy Corp. | 18,815,317 | |||
262,347 | Williams (The) Cos., Inc. | 9,037,854 | |||
502,798,517 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment — 1.5% | |||||
25,554 | Enphase Energy, Inc. (a) | $3,879,864 | |||
22,521 | First Solar, Inc. (a) | 4,670,855 | |||
8,550,719 | |||||
Total Common Stocks | 566,924,054 | ||||
(Cost $552,795,144) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
792,796 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | 792,796 | |||
629,876 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | 629,876 | |||
Total Money Market Funds | 1,422,672 | ||||
(Cost $1,422,672) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 1.4% | |||||
$7,838,182 | BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $7,839,323. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $7,995,121. (d) | 7,838,182 | |||
(Cost $7,838,182) | |||||
Total Investments — 101.5% | 576,184,908 | ||||
(Cost $562,055,998) | |||||
Net Other Assets and Liabilities — (1.5)% | (8,497,535 ) | ||||
Net Assets — 100.0% | $567,687,373 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $9,101,175 and the total value of the collateral held by the Fund is $8,630,978. |
(c) | Rate shown reflects yield as of July 31, 2023. |
(d) | This security serves as collateral for securities on loan. |
Portfolio of Investments (Continued)
July 31, 2023
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $566,924,054 | $566,924,054 | $— | $— |
Money Market Funds | 1,422,672 | 1,422,672 | — | — |
Repurchase Agreements | 7,838,182 | — | 7,838,182 | — |
Total Investments | $576,184,908 | $568,346,726 | $7,838,182 | $— |
* | See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $9,101,175 |
Non-cash Collateral(2) | (8,630,978 ) |
Net Amount | $470,197 |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 31, 2023, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $7,838,182 |
Non-cash Collateral(4) | (7,838,182 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Banks — 44.6% | |||||
376,220 | Bank of America Corp. | $12,039,040 | |||
268,758 | Bank OZK (a) | 11,752,787 | |||
133,614 | BOK Financial Corp. | 11,902,335 | |||
293,049 | Citigroup, Inc. | 13,966,715 | |||
413,867 | Citizens Financial Group, Inc. | 13,351,349 | |||
133,057 | Columbia Banking System, Inc. | 2,973,824 | |||
318,508 | Comerica, Inc. | 17,186,692 | |||
55,407 | Commerce Bancshares, Inc. | 2,946,544 | |||
50,196 | Cullen/Frost Bankers, Inc. | 5,450,282 | |||
204,465 | East West Bancorp, Inc. | 12,719,768 | |||
943,499 | F.N.B. Corp. | 12,067,352 | |||
411,819 | Fifth Third Bancorp | 11,983,933 | |||
10,520 | First Citizens BancShares, Inc., Class A | 15,057,276 | |||
449,487 | First Hawaiian, Inc. | 9,299,886 | |||
957,731 | First Horizon Corp. | 13,053,874 | |||
1,001,272 | Huntington Bancshares, Inc. | 12,255,569 | |||
37,108 | JPMorgan Chase & Co. | 5,861,580 | |||
1,460,184 | KeyCorp | 17,974,865 | |||
87,218 | M&T Bank Corp. | 12,198,310 | |||
1,200,360 | New York Community Bancorp, Inc. | 16,648,993 | |||
190,537 | Pinnacle Financial Partners, Inc. | 14,461,758 | |||
64,274 | PNC Financial Services Group (The), Inc. | 8,798,468 | |||
222,942 | Popular, Inc. | 16,174,442 | |||
191,108 | Prosperity Bancshares, Inc. | 12,100,959 | |||
605,709 | Regions Financial Corp. | 12,338,292 | |||
356,810 | Synovus Financial Corp. | 12,095,859 | |||
444,552 | Truist Financial Corp. | 14,768,018 | |||
245,015 | U.S. Bancorp | 9,722,195 | |||
285,932 | Webster Financial Corp. | 13,530,302 | |||
126,452 | Wells Fargo & Co. | 5,837,024 | |||
369,953 | Western Alliance Bancorp (a) | 19,219,058 | |||
111,472 | Wintrust Financial Corp. | 9,403,778 | |||
502,312 | Zions Bancorp N.A. (a) | 19,213,434 | |||
398,354,561 | |||||
Capital Markets — 22.2% | |||||
90,007 | Affiliated Managers Group, Inc. | 12,478,570 | |||
16,241 | Ameriprise Financial, Inc. | 5,659,176 | |||
56,010 | Ares Management Corp., Class A | 5,557,312 | |||
181,835 | Bank of New York Mellon (The) Corp. | 8,248,036 | |||
463,246 | Blue Owl Capital, Inc. | 5,707,191 | |||
168,916 | Carlyle Group (The), Inc. | 6,021,855 | |||
87,333 | Evercore, Inc., Class A | 11,795,195 | |||
404,102 | Franklin Resources, Inc. | 11,815,942 | |||
25,102 | Goldman Sachs Group (The), Inc. | 8,933,049 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
27,441 | Houlihan Lokey, Inc. | $2,739,984 | |||
802,627 | Invesco Ltd. | 13,484,134 | |||
495,119 | Janus Henderson Group PLC | 14,531,743 | |||
244,059 | Jefferies Financial Group, Inc. | 8,978,931 | |||
12,406 | LPL Financial Holdings, Inc. | 2,845,440 | |||
7,760 | Moody’s Corp. | 2,737,340 | |||
63,194 | Morgan Stanley | 5,786,043 | |||
72,788 | Northern Trust Corp. | 5,831,774 | |||
26,010 | Raymond James Financial, Inc. | 2,862,921 | |||
20,189 | S&P Global, Inc. | 7,964,762 | |||
90,518 | SEI Investments Co. | 5,701,729 | |||
147,494 | State Street Corp. | 10,684,465 | |||
135,667 | Stifel Financial Corp. | 8,620,281 | |||
72,266 | T. Rowe Price Group, Inc. | 8,907,507 | |||
631,582 | Virtu Financial, Inc., Class A | 11,722,162 | |||
345,065 | XP, Inc., Class A (b) | 9,320,206 | |||
198,935,748 | |||||
Consumer Finance — 5.0% | |||||
499,522 | Ally Financial, Inc. | 15,255,402 | |||
5,319 | Credit Acceptance Corp. (b) | 2,960,555 | |||
69,280 | Discover Financial Services | 7,312,504 | |||
247,056 | OneMain Holdings, Inc. | 11,236,107 | |||
496,031 | SLM Corp. | 8,025,782 | |||
44,790,350 | |||||
Financial Services — 4.3% | |||||
175,649 | Apollo Global Management, Inc. | 14,352,280 | |||
854,467 | MGIC Investment Corp. | 14,303,778 | |||
602,321 | Rocket Cos., Inc., Class A (a) (b) | 6,583,368 | |||
37,634 | Voya Financial, Inc. | 2,794,701 | |||
38,034,127 | |||||
Insurance — 21.6% | |||||
77,324 | Aflac, Inc. | 5,593,618 | |||
22,717 | American Financial Group, Inc. | 2,762,614 | |||
234,484 | American International Group, Inc. | 14,134,696 | |||
180,253 | Arch Capital Group Ltd. (b) | 14,003,856 | |||
12,288 | Arthur J. Gallagher & Co. | 2,639,462 | |||
48,361 | Assured Guaranty Ltd. | 2,891,021 | |||
50,133 | Axis Capital Holdings Ltd. | 2,763,331 | |||
284,945 | Brighthouse Financial, Inc. (b) | 14,854,183 | |||
117,597 | Brown & Brown, Inc. | 8,284,709 | |||
28,026 | Chubb Ltd. | 5,728,795 | |||
7,899 | Everest Group Ltd. | 2,847,668 | |||
149,912 | Fidelity National Financial, Inc. | 5,872,053 | |||
47,319 | First American Financial Corp. | 2,999,078 | |||
24,618 | Globe Life, Inc. | 2,761,401 | |||
112,404 | Hartford Financial Services Group (The), Inc. | 8,079,600 | |||
36,048 | Kinsale Capital Group, Inc. | 13,432,566 | |||
136,331 | Loews Corp. | 8,541,137 | |||
14,353 | Marsh & McLennan Cos., Inc. | 2,704,392 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance (Continued) | |||||
95,468 | MetLife, Inc. | $6,011,620 | |||
214,418 | Old Republic International Corp. | 5,911,504 | |||
40,933 | Primerica, Inc. | 8,706,449 | |||
106,740 | Principal Financial Group, Inc. | 8,525,324 | |||
19,459 | Reinsurance Group of America, Inc. | 2,731,071 | |||
14,458 | RenaissanceRe Holdings Ltd. | 2,700,176 | |||
59,319 | RLI Corp. | 7,913,748 | |||
120,227 | Ryan Specialty Holdings, Inc. (b) | 5,210,638 | |||
31,078 | Travelers (The) Cos., Inc. | 5,364,374 | |||
282,858 | Unum Group | 13,749,727 | |||
45,307 | W.R. Berkley Corp. | 2,794,989 | |||
11,450 | Willis Towers Watson PLC | 2,419,728 | |||
192,933,528 | |||||
Mortgage REITs — 1.6% | |||||
577,204 | Rithm Capital Corp. | 5,818,216 | |||
417,279 | Starwood Property Trust, Inc. | 8,654,367 | |||
14,472,583 | |||||
Professional Services — 0.6% | |||||
32,584 | Broadridge Financial Solutions, Inc. | 5,471,505 | |||
Total Common Stocks | 892,992,402 | ||||
(Cost $930,749,547) | |||||
MONEY MARKET FUNDS — 0.6% | |||||
3,950,268 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | 3,950,268 | |||
1,164,194 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | 1,164,194 | |||
Total Money Market Funds | 5,114,462 | ||||
(Cost $5,114,462) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 4.3% | |||||
$39,055,361 | BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $39,061,046. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $39,837,341. (d) | $39,055,361 | |||
(Cost $39,055,361) | |||||
Total Investments — 104.8% | 937,162,225 | ||||
(Cost $974,919,370) | |||||
Net Other Assets and Liabilities — (4.8)% | (43,138,110 ) | ||||
Net Assets — 100.0% | $894,024,115 |
(a) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $41,647,544 and the total value of the collateral held by the Fund is $43,005,629. |
(b) | Non-income producing security. |
(c) | Rate shown reflects yield as of July 31, 2023. |
(d) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $892,992,402 | $892,992,402 | $— | $— |
Money Market Funds | 5,114,462 | 5,114,462 | — | — |
Repurchase Agreements | 39,055,361 | — | 39,055,361 | — |
Total Investments | $937,162,225 | $898,106,864 | $39,055,361 | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $41,647,544 |
Non-cash Collateral(2) | (41,647,544 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $39,055,361 |
Non-cash Collateral(4) | (39,055,361 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Biotechnology — 18.6% | |||||
82,026 | Amgen, Inc. | $19,206,388 | |||
333,178 | Apellis Pharmaceuticals, Inc. (a) | 8,579,333 | |||
106,555 | Biogen, Inc. (a) | 28,790,095 | |||
323,243 | Exact Sciences Corp. (a) | 31,529,122 | |||
317,660 | Exelixis, Inc. (a) | 6,261,079 | |||
315,064 | Gilead Sciences, Inc. | 23,988,973 | |||
97,518 | Incyte Corp. (a) | 6,213,847 | |||
55,988 | Karuna Therapeutics, Inc. (a) | 11,184,723 | |||
249,816 | Moderna, Inc. (a) | 29,393,351 | |||
374,259 | Natera, Inc. (a) | 16,923,992 | |||
33,794 | Regeneron Pharmaceuticals, Inc. (a) | 25,072,107 | |||
63,083 | Seagen, Inc. (a) | 12,098,058 | |||
131,596 | Ultragenyx Pharmaceutical, Inc. (a) | 5,674,419 | |||
137,497 | United Therapeutics Corp. (a) | 33,373,272 | |||
69,001 | Vertex Pharmaceuticals, Inc. (a) | 24,311,812 | |||
282,600,571 | |||||
Health Care Equipment & Supplies — 23.9% | |||||
55,682 | Abbott Laboratories | 6,199,077 | |||
51,497 | Align Technology, Inc. (a) | 19,460,202 | |||
22,994 | Becton, Dickinson & Co. | 6,406,588 | |||
188,950 | Dexcom, Inc. (a) | 23,535,612 | |||
64,354 | Edwards Lifesciences Corp. (a) | 5,281,533 | |||
189,348 | Enovis Corp. (a) | 12,099,337 | |||
717,553 | Envista Holdings Corp. (a) | 24,690,999 | |||
305,871 | Globus Medical, Inc., Class A (a) | 18,434,845 | |||
224,917 | Hologic, Inc. (a) | 17,862,908 | |||
12,088 | IDEXX Laboratories, Inc. (a) | 6,705,576 | |||
93,496 | Inspire Medical Systems, Inc. (a) | 26,909,084 | |||
590,373 | Integra LifeSciences Holdings Corp. (a) | 26,844,260 | |||
71,013 | Intuitive Surgical, Inc. (a) | 23,036,617 | |||
110,674 | Masimo Corp. (a) | 13,535,430 | |||
137,809 | Medtronic PLC | 12,094,118 | |||
88,219 | Penumbra, Inc. (a) | 26,762,116 | |||
293,048 | QuidelOrtho Corp. (a) | 25,600,673 | |||
106,347 | Shockwave Medical, Inc. (a) | 27,714,028 | |||
79,590 | Stryker Corp. | 22,556,602 | |||
50,164 | Teleflex, Inc. | 12,599,692 | |||
41,693 | Zimmer Biomet Holdings, Inc. | 5,759,888 | |||
364,089,185 | |||||
Health Care Providers & Services — 26.8% | |||||
228,672 | Acadia Healthcare Co., Inc. (a) | 18,071,948 | |||
350,087 | agilon health, Inc. (a) | 6,704,166 | |||
132,776 | Amedisys, Inc. (a) | 12,061,372 | |||
320,953 | Cardinal Health, Inc. | 29,357,571 |
Shares | Description | Value | |||
Health Care Providers & Services (Continued) | |||||
270,000 | Centene Corp. (a) | $18,384,300 | |||
11,207 | Chemed Corp. | 5,839,856 | |||
86,535 | Cigna Group (The) | 25,536,479 | |||
302,106 | DaVita, Inc. (a) | 30,811,791 | |||
54,654 | Elevance Health, Inc. | 25,776,466 | |||
448,273 | Encompass Health Corp. | 29,599,466 | |||
100,014 | HCA Healthcare, Inc. | 27,284,819 | |||
224,556 | Henry Schein, Inc. (a) | 17,692,767 | |||
40,731 | Humana, Inc. | 18,607,143 | |||
117,122 | Laboratory Corp. of America Holdings | 25,055,909 | |||
60,456 | Molina Healthcare, Inc. (a) | 18,408,247 | |||
1,097,342 | Premier, Inc., Class A | 30,451,240 | |||
172,752 | Quest Diagnostics, Inc. | 23,357,798 | |||
74,594 | Tenet Healthcare Corp. (a) | 5,574,410 | |||
25,261 | UnitedHealth Group, Inc. | 12,791,413 | |||
192,384 | Universal Health Services, Inc., Class B | 26,733,681 | |||
408,100,842 | |||||
Health Care Technology — 1.2% | |||||
178,439 | Doximity, Inc., Class A (a) | 6,375,626 | |||
61,401 | Veeva Systems, Inc., Class A (a) | 12,539,312 | |||
18,914,938 | |||||
Life Sciences Tools & Services — 17.5% | |||||
217,426 | 10X Genomics, Inc., Class A (a) | 13,693,490 | |||
100,965 | Agilent Technologies, Inc. | 12,294,508 | |||
886,636 | Avantor, Inc. (a) | 18,238,103 | |||
74,366 | Bio-Techne Corp. | 6,202,124 | |||
86,618 | Charles River Laboratories International, Inc. (a) | 18,149,936 | |||
75,882 | Danaher Corp. | 19,354,463 | |||
97,051 | ICON PLC (a) | 24,399,592 | |||
54,015 | IQVIA Holdings, Inc. (a) | 12,086,396 | |||
1,953,501 | Maravai LifeSciences Holdings, Inc., Class A (a) | 22,094,096 | |||
126,379 | Medpace Holdings, Inc. (a) | 31,995,371 | |||
269,619 | QIAGEN N.V. (a) | 12,623,562 | |||
42,913 | Repligen Corp. (a) | 7,362,154 | |||
102,206 | Revvity, Inc. | 12,566,228 | |||
644,428 | Sotera Health Co. (a) | 12,231,243 | |||
432,167 | Syneos Health, Inc. (a) | 18,328,203 | |||
11,634 | Thermo Fisher Scientific, Inc. | 6,383,110 | |||
47,616 | West Pharmaceutical Services, Inc. | 17,524,593 | |||
265,527,172 | |||||
Pharmaceuticals — 12.0% | |||||
379,702 | Bristol-Myers Squibb Co. | 23,613,667 | |||
140,002 | Catalent, Inc. (a) | 6,792,897 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Pharmaceuticals (Continued) | |||||
2,413,717 | Elanco Animal Health, Inc. (a) | $29,133,564 | |||
38,831 | Eli Lilly & Co. | 17,650,631 | |||
36,676 | Johnson & Johnson | 6,144,330 | |||
105,217 | Merck & Co., Inc. | 11,221,393 | |||
583,422 | Organon & Co. | 12,823,616 | |||
357,615 | Perrigo Co. PLC | 13,103,014 | |||
827,496 | Pfizer, Inc. | 29,839,506 | |||
3,041,333 | Viatris, Inc. | 32,025,236 | |||
182,347,854 | |||||
Total Common Stocks | 1,521,580,562 | ||||
(Cost $1,434,694,719) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
870,307 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 870,307 | |||
(Cost $870,307) | |||||
Total Investments — 100.0% | 1,522,450,869 | ||||
(Cost $1,435,565,026) | |||||
Net Other Assets and Liabilities — (0.0)% | (631,139 ) | ||||
Net Assets — 100.0% | $1,521,819,730 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,521,580,562 | $1,521,580,562 | $— | $— |
Money Market Funds | 870,307 | 870,307 | — | — |
Total Investments | $1,522,450,869 | $1,522,450,869 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Aerospace & Defense — 7.3% | |||||
21,662 | Axon Enterprise, Inc. (a) | $4,027,615 | |||
60,048 | Boeing (The) Co. (a) | 14,342,465 | |||
177,175 | BWX Technologies, Inc. | 12,225,075 | |||
23,011 | Curtiss-Wright Corp. | 4,403,385 | |||
40,806 | General Dynamics Corp. | 9,123,405 | |||
49,613 | HEICO Corp. | 8,730,896 | |||
55,715 | Huntington Ingalls Industries, Inc. | 12,796,064 | |||
27,821 | Northrop Grumman Corp. | 12,380,345 | |||
89,613 | RTX Corp. | 7,879,671 | |||
144,801 | Spirit AeroSystems Holdings, Inc., Class A | 4,607,568 | |||
259,605 | Textron, Inc. | 20,189,481 | |||
19,632 | TransDigm Group, Inc. | 17,663,303 | |||
128,369,273 | |||||
Air Freight & Logistics — 2.8% | |||||
93,042 | C.H. Robinson Worldwide, Inc. | 9,320,948 | |||
104,685 | Expeditors International of Washington, Inc. | 13,326,401 | |||
51,152 | FedEx Corp. | 13,808,482 | |||
70,740 | United Parcel Service, Inc., Class B | 13,237,576 | |||
49,693,407 | |||||
Banks — 1.2% | |||||
2,781,577 | NU Holdings Ltd., Class A (a) | 22,141,353 | |||
Building Products — 8.6% | |||||
120,622 | A.O. Smith Corp. | 8,760,776 | |||
154,311 | Advanced Drainage Systems, Inc. | 18,824,399 | |||
146,289 | Allegion PLC | 17,095,333 | |||
119,505 | Armstrong World Industries, Inc. | 9,244,907 | |||
161,372 | Builders FirstSource, Inc. (a) | 23,306,958 | |||
49,432 | Carlisle Cos., Inc. | 13,702,550 | |||
176,599 | Carrier Global Corp. | 10,516,470 | |||
328,930 | Hayward Holdings, Inc. (a) | 4,394,505 | |||
73,661 | Masco Corp. | 4,469,750 | |||
168,173 | Owens Corning | 23,542,538 | |||
66,296 | Trane Technologies PLC | 13,222,074 | |||
64,471 | Trex Co., Inc. (a) | 4,457,525 | |||
151,537,785 | |||||
Chemicals — 3.0% | |||||
535,122 | Axalta Coating Systems Ltd. (a) | 17,123,904 | |||
122,885 | DuPont de Nemours, Inc. | 9,539,562 | |||
85,504 | PPG Industries, Inc. | 12,304,026 | |||
47,758 | Sherwin-Williams (The) Co. | 13,205,087 | |||
52,172,579 |
Shares | Description | Value | |||
Commercial Services & Supplies — 2.2% | |||||
17,661 | Cintas Corp. | $8,866,528 | |||
100,927 | MSA Safety, Inc. | 16,753,882 | |||
77,443 | Tetra Tech, Inc. | 13,104,130 | |||
38,724,540 | |||||
Construction & Engineering — 4.8% | |||||
118,769 | EMCOR Group, Inc. | 25,540,086 | |||
1,048,075 | MDU Resources Group, Inc. | 23,183,419 | |||
111,716 | Quanta Services, Inc. | 22,524,180 | |||
14,519 | Valmont Industries, Inc. | 3,843,905 | |||
183,690 | WillScot Mobile Mini Holdings Corp. (a) | 8,807,935 | |||
83,899,525 | |||||
Construction Materials — 2.4% | |||||
117,730 | Eagle Materials, Inc. | 21,705,880 | |||
97,351 | Vulcan Materials Co. | 21,465,896 | |||
43,171,776 | |||||
Consumer Finance — 3.3% | |||||
100,789 | American Express Co. | 17,021,246 | |||
160,534 | Capital One Financial Corp. | 18,785,689 | |||
647,011 | Synchrony Financial | 22,347,760 | |||
58,154,695 | |||||
Containers & Packaging — 6.2% | |||||
1,270,569 | Amcor PLC | 13,036,038 | |||
36,482 | AptarGroup, Inc. | 4,431,104 | |||
272,885 | Berry Global Group, Inc. | 17,893,069 | |||
48,654 | Crown Holdings, Inc. | 4,513,145 | |||
730,643 | Graphic Packaging Holding Co. | 17,681,560 | |||
166,059 | Packaging Corp. of America | 25,465,148 | |||
187,215 | Silgan Holdings, Inc. | 8,209,378 | |||
297,481 | Sonoco Products Co. | 17,444,286 | |||
108,673,728 | |||||
Diversified Consumer Services — 0.8% | |||||
2,102,864 | ADT, Inc. | 13,416,272 | |||
Electrical Equipment — 4.9% | |||||
107,661 | Acuity Brands, Inc. | 17,789,904 | |||
66,191 | Hubbell, Inc. | 20,651,592 | |||
169,898 | nVent Electric PLC | 8,984,206 | |||
57,041 | Regal Rexnord Corp. | 8,908,663 | |||
53,289 | Rockwell Automation, Inc. | 17,920,558 | |||
281,843 | Sensata Technologies Holding PLC | 11,907,867 | |||
86,162,790 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Electronic Equipment, Instruments & Components — 2.4% | |||||
25,240 | Keysight Technologies, Inc. (a) | $4,065,659 | |||
30,136 | Littelfuse, Inc. | 9,179,426 | |||
21,351 | Teledyne Technologies, Inc. (a) | 8,210,100 | |||
79,840 | Trimble, Inc. (a) | 4,295,392 | |||
545,087 | Vontier Corp. | 16,859,541 | |||
42,610,118 | |||||
Financial Services — 5.0% | |||||
108,040 | Euronet Worldwide, Inc. (a) | 9,493,475 | |||
100,515 | Fiserv, Inc. (a) | 12,685,998 | |||
69,929 | FleetCor Technologies, Inc. (a) | 17,406,027 | |||
10,748 | Mastercard, Inc., Class A | 4,237,721 | |||
258,541 | Shift4 Payments, Inc., Class A (a) | 17,836,744 | |||
17,797 | Visa, Inc., Class A | 4,230,881 | |||
1,081,017 | Western Union (The) Co. | 13,166,787 | |||
48,219 | WEX, Inc. (a) | 9,130,268 | |||
88,187,901 | |||||
Ground Transportation — 9.4% | |||||
257,441 | CSX Corp. | 8,577,934 | |||
70,046 | J.B. Hunt Transport Services, Inc. | 14,285,181 | |||
395,008 | Knight-Swift Transportation Holdings, Inc. | 23,996,736 | |||
65,861 | Landstar System, Inc. | 13,408,641 | |||
38,714 | Norfolk Southern Corp. | 9,043,203 | |||
34,293 | Old Dominion Freight Line, Inc. | 14,385,571 | |||
258,834 | Ryder System, Inc. | 26,439,893 | |||
64,092 | Saia, Inc. (a) | 27,119,889 | |||
764,161 | Schneider National, Inc., Class B | 23,543,801 | |||
20,655 | Union Pacific Corp. | 4,792,373 | |||
165,593,222 | |||||
Household Durables — 1.8% | |||||
85,095 | Mohawk Industries, Inc. (a) | 9,049,002 | |||
82,502 | TopBuild Corp. (a) | 22,599,773 | |||
31,648,775 | |||||
Industrial Conglomerates — 1.4% | |||||
175,417 | 3M Co. | 19,558,996 | |||
38,481 | General Electric Co. | 4,396,069 | |||
23,955,065 | |||||
IT Services — 0.2% | |||||
13,697 | Accenture PLC, Class A | 4,333,046 | |||
Leisure Products — 1.2% | |||||
253,306 | Brunswick Corp. | 21,862,841 | |||
Machinery — 14.3% | |||||
166,996 | AGCO Corp. | 22,227,168 |
Shares | Description | Value | |||
Machinery (Continued) | |||||
388,712 | Allison Transmission Holdings, Inc. | $22,813,507 | |||
51,533 | Caterpillar, Inc. | 13,665,006 | |||
1,219,258 | CNH Industrial N.V. | 17,508,545 | |||
51,725 | Cummins, Inc. | 13,489,880 | |||
21,665 | Deere & Co. | 9,307,284 | |||
140,434 | Donaldson Co., Inc. | 8,823,468 | |||
59,454 | Dover Corp. | 8,678,500 | |||
131,927 | Esab Corp. | 9,063,385 | |||
113,778 | Flowserve Corp. | 4,296,257 | |||
146,850 | Graco, Inc. | 11,649,610 | |||
16,899 | Illinois Tool Works, Inc. | 4,449,845 | |||
136,042 | ITT, Inc. | 13,549,783 | |||
110,491 | Lincoln Electric Holdings, Inc. | 22,176,649 | |||
85,773 | Middleby (The) Corp. (a) | 13,024,630 | |||
48,816 | Oshkosh Corp. | 4,494,489 | |||
47,484 | Otis Worldwide Corp. | 4,319,145 | |||
209,888 | PACCAR, Inc. | 18,077,653 | |||
65,431 | Pentair PLC | 4,547,454 | |||
60,924 | Snap-on, Inc. | 16,598,135 | |||
38,543 | Westinghouse Air Brake Technologies Corp. | 4,565,033 | |||
37,532 | Xylem, Inc. | 4,231,733 | |||
251,557,159 | |||||
Marine Transportation — 0.5% | |||||
114,081 | Kirby Corp. (a) | 9,295,320 | |||
Paper & Forest Products — 1.3% | |||||
292,703 | Louisiana-Pacific Corp. | 22,283,479 | |||
Professional Services — 4.7% | |||||
157,324 | Booz Allen Hamilton Holding Corp. | 19,048,790 | |||
17,967 | Equifax, Inc. | 3,666,705 | |||
22,223 | FTI Consulting, Inc. (a) | 3,892,581 | |||
233,662 | Genpact Ltd. | 8,432,862 | |||
73,842 | Jacobs Solutions, Inc. | 9,260,525 | |||
221,126 | ManpowerGroup, Inc. | 17,442,419 | |||
233,410 | Robert Half, Inc. | 17,307,351 | |||
18,701 | Verisk Analytics, Inc. | 4,281,407 | |||
83,332,640 | |||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||
39,103 | MKS Instruments, Inc. | 4,268,875 | |||
Software — 0.7% | |||||
15,667 | Fair Isaac Corp. (a) | 13,128,476 | |||
Trading Companies & Distributors — 9.3% | |||||
524,412 | Air Lease Corp. | 22,203,604 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Trading Companies & Distributors (Continued) | |||||
560,221 | Core & Main, Inc., Class A (a) | $17,708,586 | |||
139,514 | Ferguson PLC | 22,548,253 | |||
184,269 | MSC Industrial Direct Co., Inc., Class A | 18,596,427 | |||
49,274 | United Rentals, Inc. | 22,896,642 | |||
27,832 | W.W. Grainger, Inc. | 20,553,654 | |||
57,532 | Watsco, Inc. | 21,758,027 | |||
98,052 | WESCO International, Inc. | 17,214,990 | |||
163,480,183 | |||||
Total Common Stocks | 1,761,654,823 | ||||
(Cost $1,536,123,138) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
1,589,023 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 1,589,023 | |||
(Cost $1,589,023) | |||||
Total Investments — 100.0% | 1,763,243,846 | ||||
(Cost $1,537,712,161) | |||||
Net Other Assets and Liabilities — (0.0)% | (627,941 ) | ||||
Net Assets — 100.0% | $1,762,615,905 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,761,654,823 | $1,761,654,823 | $— | $— |
Money Market Funds | 1,589,023 | 1,589,023 | — | — |
Total Investments | $1,763,243,846 | $1,763,243,846 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 0.7% | |||||
60,708 | Hexcel Corp. | $4,290,841 | |||
Chemicals — 54.3% | |||||
15,408 | Air Products and Chemicals, Inc. | 4,704,525 | |||
82,751 | Albemarle Corp. | 17,566,382 | |||
159,303 | Ashland, Inc. | 14,553,922 | |||
159,419 | Celanese Corp. | 19,989,548 | |||
379,886 | CF Industries Holdings, Inc. | 31,181,043 | |||
375,314 | Chemours (The) Co. | 13,879,112 | |||
346,606 | Dow, Inc. | 19,572,841 | |||
165,374 | Eastman Chemical Co. | 14,152,707 | |||
74,158 | Ecolab, Inc. | 13,581,296 | |||
480,734 | Element Solutions, Inc. | 10,076,185 | |||
88,465 | FMC Corp. | 8,512,987 | |||
512,404 | Huntsman Corp. | 15,254,267 | |||
57,987 | International Flavors & Fragrances, Inc. | 4,906,280 | |||
24,221 | Linde PLC | 9,462,418 | |||
201,026 | LyondellBasell Industries N.V., Class A | 19,873,430 | |||
753,483 | Mosaic (The) Co. | 30,711,967 | |||
34,431 | NewMarket Corp. | 15,552,483 | |||
359,222 | Olin Corp. | 20,719,925 | |||
73,613 | Scotts Miracle-Gro (The) Co. | 5,155,855 | |||
220,739 | Westlake Corp. | 30,351,612 | |||
319,758,785 | |||||
Containers & Packaging — 6.8% | |||||
53,722 | Avery Dennison Corp. | 9,885,385 | |||
829,042 | International Paper Co. | 29,895,255 | |||
39,780,640 | |||||
Machinery — 3.2% | |||||
21,219 | RBC Bearings, Inc. (a) | 4,796,555 | |||
151,267 | Timken (The) Co. | 14,046,654 | |||
18,843,209 | |||||
Metals & Mining — 31.1% | |||||
136,019 | Alcoa Corp. | 4,922,528 | |||
1,101,444 | Cleveland-Cliffs, Inc. (a) | 19,440,486 | |||
230,752 | Freeport-McMoRan, Inc. | 10,303,077 | |||
403,413 | MP Materials Corp. (a) | 9,621,400 | |||
108,185 | Newmont Corp. | 4,643,300 | |||
160,820 | Nucor Corp. | 27,675,514 | |||
67,970 | Reliance Steel & Aluminum Co. | 19,905,694 | |||
80,414 | Royal Gold, Inc. | 9,660,938 | |||
64,329 | Southern Copper Corp. | 5,624,928 | |||
1,301,852 | SSR Mining, Inc. | 18,954,965 | |||
242,102 | Steel Dynamics, Inc. | 25,803,231 | |||
1,054,450 | United States Steel Corp. | 26,888,475 | |||
183,444,536 |
Shares | Description | Value | |||
Trading Companies & Distributors — 3.9% | |||||
156,473 | Fastenal Co. | $9,170,882 | |||
386,305 | Univar Solutions, Inc. (a) | 13,961,063 | |||
23,131,945 | |||||
Total Common Stocks | 589,249,956 | ||||
(Cost $625,813,257) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
560,531 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 560,531 | |||
(Cost $560,531) | |||||
Total Investments — 100.1% | 589,810,487 | ||||
(Cost $626,373,788) | |||||
Net Other Assets and Liabilities — (0.1)% | (365,349 ) | ||||
Net Assets — 100.0% | $589,445,138 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $589,249,956 | $589,249,956 | $— | $— |
Money Market Funds | 560,531 | 560,531 | — | — |
Total Investments | $589,810,487 | $589,810,487 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Communications Equipment — 0.3% | |||||
26,908 | F5, Inc. (a) | $4,257,922 | |||
Electrical Equipment — 1.7% | |||||
794,407 | Vertiv Holdings Co. | 20,662,526 | |||
Electronic Equipment, Instruments & Components — 8.7% | |||||
46,327 | Amphenol Corp., Class A | 4,091,137 | |||
137,384 | Arrow Electronics, Inc. (a) | 19,582,715 | |||
390,039 | Avnet, Inc. | 18,916,892 | |||
77,197 | Coherent Corp. (a) | 3,656,050 | |||
224,629 | Corning, Inc. | 7,623,908 | |||
182,317 | Jabil, Inc. | 20,177,023 | |||
274,251 | National Instruments Corp. | 16,180,809 | |||
167,468 | TD SYNNEX Corp. | 16,530,766 | |||
106,759,300 | |||||
Financial Services — 1.6% | |||||
871,842 | Toast, Inc., Class A (a) | 19,241,553 | |||
Hotels, Restaurants & Leisure — 1.9% | |||||
257,491 | DoorDash, Inc., Class A (a) | 23,377,608 | |||
Interactive Media & Services — 2.5% | |||||
65,756 | Alphabet, Inc., Class A (a) | 8,727,136 | |||
54,854 | Meta Platforms, Inc., Class A (a) | 17,476,484 | |||
143,946 | Pinterest, Inc., Class A (a) | 4,172,995 | |||
30,376,615 | |||||
IT Services — 9.4% | |||||
87,582 | Akamai Technologies, Inc. (a) | 8,276,499 | |||
79,625 | Amdocs Ltd. | 7,456,085 | |||
240,813 | Cloudflare, Inc., Class A (a) | 16,560,710 | |||
301,432 | Cognizant Technology Solutions Corp., Class A | 19,903,555 | |||
294,573 | DXC Technology Co. (a) | 8,144,943 | |||
22,469 | Gartner, Inc. (a) | 7,944,814 | |||
43,796 | Globant S.A. (a) | 7,652,475 | |||
47,878 | MongoDB, Inc. (a) | 20,271,545 | |||
67,090 | Snowflake, Inc., Class A (a) | 11,922,564 | |||
61,859 | Twilio, Inc., Class A (a) | 4,084,550 | |||
17,416 | VeriSign, Inc. (a) | 3,673,905 | |||
115,891,645 | |||||
Professional Services — 6.5% | |||||
23,093 | CACI International, Inc., Class A (a) | 8,092,711 | |||
58,765 | Ceridian HCM Holding, Inc. (a) | 4,161,149 | |||
243,684 | Concentrix Corp. | 20,284,256 | |||
680,293 | Dun & Bradstreet Holdings, Inc. | 8,041,063 | |||
181,471 | KBR, Inc. | 11,158,652 | |||
88,958 | Leidos Holdings, Inc. | 8,320,242 |
Shares | Description | Value | |||
Professional Services (Continued) | |||||
12,251 | Paycom Software, Inc. | $4,517,679 | |||
69,977 | Science Applications International Corp. | 8,491,009 | |||
129,884 | SS&C Technologies Holdings, Inc. | 7,565,743 | |||
80,632,504 | |||||
Semiconductors & Semiconductor Equipment — 21.4% | |||||
138,196 | Advanced Micro Devices, Inc. (a) | 15,809,622 | |||
261,553 | Allegro MicroSystems, Inc. (a) | 13,498,750 | |||
40,403 | Analog Devices, Inc. | 8,061,611 | |||
108,911 | Applied Materials, Inc. | 16,509,819 | |||
22,685 | Broadcom, Inc. | 20,385,875 | |||
145,741 | Cirrus Logic, Inc. (a) | 11,775,873 | |||
177,562 | Entegris, Inc. | 19,480,327 | |||
182,820 | GLOBALFOUNDRIES, Inc. (a) (b) | 11,643,806 | |||
117,688 | Intel Corp. | 4,209,700 | |||
32,456 | KLA Corp. | 16,680,761 | |||
24,487 | Lam Research Corp. | 17,593,665 | |||
122,895 | Lattice Semiconductor Corp. (a) | 11,176,071 | |||
175,711 | Microchip Technology, Inc. | 16,506,291 | |||
29,139 | Monolithic Power Systems, Inc. | 16,302,979 | |||
27,910 | NVIDIA Corp. | 13,042,064 | |||
83,220 | ON Semiconductor Corp. (a) | 8,966,955 | |||
99,181 | QUALCOMM, Inc. | 13,108,753 | |||
177,771 | Skyworks Solutions, Inc. | 20,331,669 | |||
35,350 | Teradyne, Inc. | 3,992,429 | |||
21,861 | Texas Instruments, Inc. | 3,934,980 | |||
263,012,000 | |||||
Software — 40.8% | |||||
24,145 | Adobe, Inc. (a) | 13,187,275 | |||
11,916 | ANSYS, Inc. (a) | 4,076,464 | |||
152,953 | AppLovin Corp., Class A (a) | 4,802,724 | |||
290,282 | Bentley Systems, Inc., Class B | 15,640,394 | |||
67,124 | Cadence Design Systems, Inc. (a) | 15,707,687 | |||
557,278 | Confluent, Inc., Class A (a) | 19,248,382 | |||
26,796 | Crowdstrike Holdings, Inc., Class A (a) | 4,331,841 | |||
120,009 | Datadog, Inc., Class A (a) | 14,007,450 | |||
47,030 | Dolby Laboratories, Inc., Class A | 4,167,328 | |||
505,588 | DoubleVerify Holdings, Inc. (a) | 21,285,255 | |||
442,688 | Dropbox, Inc., Class A (a) | 11,930,442 | |||
305,848 | Dynatrace, Inc. (a) | 16,726,827 | |||
122,754 | Elastic N.V. (a) | 8,157,003 | |||
47,732 | Five9, Inc. (a) | 4,188,483 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
208,255 | Fortinet, Inc. (a) | $16,185,579 | |||
848,624 | Gen Digital, Inc. | 16,505,737 | |||
154,001 | Gitlab, Inc., Class A (a) | 7,643,070 | |||
36,981 | HubSpot, Inc. (a) | 21,469,320 | |||
8,589 | Intuit, Inc. | 4,394,991 | |||
98,446 | Manhattan Associates, Inc. (a) | 18,765,777 | |||
34,670 | Microsoft Corp. | 11,646,346 | |||
261,321 | nCino, Inc. (a) | 8,453,734 | |||
312,341 | NCR Corp. (a) | 8,395,726 | |||
60,139 | New Relic, Inc. (a) | 5,050,473 | |||
420,909 | Nutanix, Inc., Class A (a) | 12,711,452 | |||
165,232 | Oracle Corp. | 19,370,147 | |||
1,283,593 | Palantir Technologies, Inc., Class A (a) | 25,466,485 | |||
77,013 | Palo Alto Networks, Inc. (a) | 19,250,170 | |||
181,443 | Procore Technologies, Inc. (a) | 13,762,452 | |||
27,656 | PTC, Inc. (a) | 4,032,521 | |||
55,886 | Salesforce, Inc. (a) | 12,574,909 | |||
21,009 | ServiceNow, Inc. (a) | 12,248,247 | |||
148,383 | Splunk, Inc. (a) | 16,074,330 | |||
27,116 | Synopsys, Inc. (a) | 12,251,009 | |||
294,739 | Teradata Corp. (a) | 16,755,912 | |||
18,899 | Tyler Technologies, Inc. (a) | 7,495,910 | |||
362,551 | Unity Software, Inc. (a) | 16,619,338 | |||
54,777 | VMware, Inc., Class A (a) | 8,634,499 | |||
69,689 | Workday, Inc., Class A (a) | 16,525,353 | |||
80,700 | Zscaler, Inc. (a) | 12,942,666 | |||
502,683,708 | |||||
Technology Hardware, Storage & Peripherals — 5.2% | |||||
60,867 | Apple, Inc. | 11,957,322 | |||
937,023 | Hewlett Packard Enterprise Co. | 16,285,460 | |||
128,150 | HP, Inc. | 4,207,165 | |||
154,535 | NetApp, Inc. | 12,055,275 | |||
534,424 | Pure Storage, Inc., Class A (a) | 19,768,344 | |||
64,273,566 | |||||
Total Common Stocks | 1,231,168,947 | ||||
(Cost $993,879,017) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
767,377 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | 767,377 | |||
757,236 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | 757,236 | |||
Total Money Market Funds | 1,524,613 | ||||
(Cost $1,524,613) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 0.6% | |||||
$7,586,874 | BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $7,587,979. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $7,738,781. (d) | $7,586,874 | |||
(Cost $7,586,874) | |||||
Total Investments — 100.7% | 1,240,280,434 | ||||
(Cost $1,002,990,504) | |||||
Net Other Assets and Liabilities — (0.7)% | (9,197,769 ) | ||||
Net Assets — 100.0% | $1,231,082,665 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $8,304,412 and the total value of the collateral held by the Fund is $8,354,251. |
(c) | Rate shown reflects yield as of July 31, 2023. |
(d) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,231,168,947 | $1,231,168,947 | $— | $— |
Money Market Funds | 1,524,613 | 1,524,613 | — | — |
Repurchase Agreements | 7,586,874 | — | 7,586,874 | — |
Total Investments | $1,240,280,434 | $1,232,693,560 | $7,586,874 | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $8,304,412 |
Non-cash Collateral(2) | (8,304,412 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $7,586,874 |
Non-cash Collateral(4) | (7,586,874 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Commercial Services & Supplies — 4.0% | |||||
30,362 | Clean Harbors, Inc. (a) | $5,047,986 | |||
16,294 | Republic Services, Inc. | 2,462,186 | |||
53,746 | Stericycle, Inc. (a) | 2,283,668 | |||
14,390 | Waste Management, Inc. | 2,356,938 | |||
12,150,778 | |||||
Electric Utilities — 49.1% | |||||
142,683 | Alliant Energy Corp. | 7,667,784 | |||
88,932 | American Electric Power Co., Inc. | 7,536,098 | |||
331,211 | Avangrid, Inc. | 12,281,304 | |||
111,254 | Duke Energy Corp. | 10,415,600 | |||
71,882 | Edison International | 5,172,629 | |||
102,540 | Entergy Corp. | 10,530,858 | |||
213,629 | Evergy, Inc. | 12,811,331 | |||
105,582 | Eversource Energy | 7,636,746 | |||
245,064 | Exelon Corp. | 10,258,379 | |||
64,201 | FirstEnergy Corp. | 2,528,877 | |||
137,898 | Hawaiian Electric Industries, Inc. | 5,293,904 | |||
48,654 | IDACORP, Inc. | 5,002,604 | |||
33,638 | NextEra Energy, Inc. | 2,465,665 | |||
347,535 | OGE Energy Corp. | 12,563,390 | |||
577,783 | PG&E Corp. (a) | 10,174,759 | |||
122,563 | Pinnacle West Capital Corp. | 10,150,668 | |||
282,997 | PPL Corp. | 7,790,907 | |||
35,530 | Southern (The) Co. | 2,570,240 | |||
120,442 | Xcel Energy, Inc. | 7,555,327 | |||
150,407,070 | |||||
Electrical Equipment — 3.5% | |||||
559,019 | Sunrun, Inc. (a) | 10,610,181 | |||
Gas Utilities — 6.8% | |||||
64,366 | Atmos Energy Corp. | 7,833,986 | |||
242,990 | National Fuel Gas Co. | 12,905,199 | |||
20,739,185 | |||||
Independent Power and Renewable Electricity Producers — 12.1% | |||||
395,942 | Brookfield Renewable Corp., Class A | 12,341,512 | |||
436,980 | Clearway Energy, Inc., Class C | 11,540,642 | |||
475,431 | Vistra Corp. | 13,340,594 | |||
37,222,748 | |||||
Multi-Utilities — 23.5% | |||||
91,685 | Ameren Corp. | 7,854,654 | |||
171,253 | CenterPoint Energy, Inc. | 5,153,003 | |||
42,485 | CMS Energy Corp. | 2,594,559 | |||
138,056 | Consolidated Edison, Inc. | 13,095,992 | |||
96,388 | Dominion Energy, Inc. | 5,161,577 | |||
45,376 | DTE Energy Co. | 5,186,477 |
Shares | Description | Value | |||
Multi-Utilities (Continued) | |||||
365,046 | NiSource, Inc. | $10,162,881 | |||
159,466 | Public Service Enterprise Group, Inc. | 10,065,494 | |||
51,430 | Sempra | 7,664,098 | |||
56,573 | WEC Energy Group, Inc. | 5,083,650 | |||
72,022,385 | |||||
Water Utilities — 0.9% | |||||
62,539 | Essential Utilities, Inc. | 2,644,774 | |||
Total Common Stocks | 305,797,121 | ||||
(Cost $314,144,226) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
295,889 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 295,889 | |||
(Cost $295,889) | |||||
Total Investments — 100.0% | 306,093,010 | ||||
(Cost $314,440,115) | |||||
Net Other Assets and Liabilities — (0.0)% | (23,616 ) | ||||
Net Assets — 100.0% | $306,069,394 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $305,797,121 | $305,797,121 | $— | $— |
Money Market Funds | 295,889 | 295,889 | — | — |
Total Investments | $306,093,010 | $306,093,010 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Sector Funds
Statements of Assets and Liabilities
July 31, 2023
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) | First Trust Consumer Staples AlphaDEX® Fund (FXG) | First Trust Energy AlphaDEX® Fund (FXN) | |
ASSETS: | |||
Investments, at value | $1,509,081,743 | $656,321,985 | $576,184,908 |
Receivables: | |||
Capital shares sold | 17,156,467 | — | — |
Dividends | 410,504 | 766,699 | 631,480 |
Securities lending income | 119,741 | 34 | 29,391 |
Reclaims | 1,619 | — | — |
Investment securities sold | — | — | — |
Prepaid expenses | 2,523 | 2,905 | 8,319 |
Total Assets | 1,526,772,597 | 657,091,623 | 576,854,098 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 17,147,100 | — | — |
Collateral for securities on loan | 4,367,564 | — | 8,630,978 |
Investment advisory fees | 615,682 | 281,552 | 230,394 |
Licensing fees | 176,224 | 91,082 | 80,433 |
Audit and tax fees | 29,111 | 28,997 | 31,032 |
Shareholder reporting fees | 21,446 | 32,027 | 61,807 |
Trustees’ fees | 618 | 608 | 689 |
Capital shares redeemed | — | — | — |
Other liabilities | 236,296 | 129,759 | 131,392 |
Total Liabilities | 22,594,041 | 564,025 | 9,166,725 |
NET ASSETS | $1,504,178,556 | $656,527,598 | $567,687,373 |
NET ASSETS consist of: | |||
Paid-in capital | $1,815,841,077 | $909,142,710 | $1,076,475,453 |
Par value | 262,000 | 102,000 | 329,000 |
Accumulated distributable earnings (loss) | (311,924,521 ) | (252,717,112 ) | (509,117,080 ) |
NET ASSETS | $1,504,178,556 | $656,527,598 | $567,687,373 |
NET ASSET VALUE, per share | $57.41 | $64.37 | $17.25 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 26,200,002 | 10,200,002 | 32,900,002 |
Investments, at cost | $1,335,576,528 | $632,495,769 | $562,055,998 |
Securities on loan, at value | $4,242,777 | $— | $9,101,175 |
First Trust Financials AlphaDEX® Fund (FXO) | First Trust Health Care AlphaDEX® Fund (FXH) | First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) | First Trust Materials AlphaDEX® Fund (FXZ) | First Trust Technology AlphaDEX® Fund (FXL) | First Trust Utilities AlphaDEX® Fund (FXU) |
$937,162,225 | $1,522,450,869 | $1,763,243,846 | $589,810,487 | $1,240,280,434 | $306,093,010 |
2,074,302 | — | 15,427,358 | — | — | — |
600,792 | 603,163 | 699,927 | 332,628 | 96,764 | 263,871 |
41,408 | — | — | — | 10,373 | — |
— | — | — | — | — | 4,535 |
— | — | — | 3,371,332 | — | 1,625,585 |
4,287 | 4,649 | 4,860 | 4,086 | 4,237 | 2,659 |
939,883,014 | 1,523,058,681 | 1,779,375,991 | 593,518,533 | 1,240,391,808 | 307,989,660 |
2,071,523 | — | 15,415,880 | — | — | — |
43,005,629 | — | — | — | 8,354,251 | — |
371,522 | 655,543 | 731,402 | 248,437 | 507,497 | 134,359 |
122,932 | 208,865 | 219,523 | 155,443 | 152,454 | 43,562 |
29,225 | 29,206 | 29,246 | 29,029 | 29,093 | 28,980 |
55,377 | 63,387 | 59,072 | 63,535 | 44,209 | 23,355 |
599 | 643 | 643 | 634 | 624 | 594 |
— | — | — | 3,372,503 | — | 1,626,268 |
202,092 | 281,307 | 304,320 | 203,814 | 221,015 | 63,148 |
45,858,899 | 1,238,951 | 16,760,086 | 4,073,395 | 9,309,143 | 1,920,266 |
$894,024,115 | $1,521,819,730 | $1,762,615,905 | $589,445,138 | $1,231,082,665 | $306,069,394 |
$1,370,307,613 | $2,085,885,408 | $1,969,487,081 | $889,424,533 | $1,728,017,684 | $517,978,951 |
215,500 | 143,000 | 285,000 | 86,500 | 102,550 | 94,000 |
(476,498,998 ) | (564,208,678 ) | (207,156,176 ) | (300,065,895 ) | (497,037,569 ) | (212,003,557 ) |
$894,024,115 | $1,521,819,730 | $1,762,615,905 | $589,445,138 | $1,231,082,665 | $306,069,394 |
$41.49 | $106.42 | $61.85 | $68.14 | $120.05 | $32.56 |
21,550,002 | 14,300,002 | 28,500,002 | 8,650,002 | 10,255,000 | 9,400,002 |
$974,919,370 | $1,435,565,026 | $1,537,712,161 | $626,373,788 | $1,002,990,504 | $314,440,115 |
$41,647,544 | $— | $— | $— | $8,304,412 | $— |
Sector Funds
Statements of Operations
For the Year Ended July 31, 2023
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) | First Trust Consumer Staples AlphaDEX® Fund (FXG) | First Trust Energy AlphaDEX® Fund (FXN) | |
INVESTMENT INCOME: | |||
Dividends | $8,881,850 | $17,252,512 | $47,799,597 |
Securities lending income (net of fees) | 236,763 | 104 | 134,140 |
Foreign withholding tax | (2,428 ) | — | — |
Total investment income | 9,116,185 | 17,252,616 | 47,933,737 |
EXPENSES: | |||
Investment advisory fees | 3,441,623 | 3,390,095 | 6,597,347 |
Accounting and administration fees | 335,085 | 340,314 | 613,493 |
Licensing fees | 275,330 | 271,208 | 527,788 |
Custodian fees | 54,698 | 54,525 | 96,333 |
Transfer agent fees | 31,715 | 33,901 | 54,095 |
Audit and tax fees | 31,002 | 29,516 | 31,628 |
Legal fees | 14,819 | 22,459 | 50,016 |
Shareholder reporting fees | 10,387 | 95,595 | 199,867 |
Listing fees | 9,790 | 8,830 | 15,068 |
Trustees’ fees and expenses | 8,000 | 8,250 | 8,841 |
Other expenses | 11,052 | 10,897 | 28,705 |
Total expenses | 4,223,501 | 4,265,590 | 8,223,181 |
NET INVESTMENT INCOME (LOSS) | 4,892,684 | 12,987,026 | 39,710,556 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments | (57,880,474 ) | (20,042,996 ) | (17,385,175 ) |
In-kind redemptions | 18,755,093 | 24,739,087 | 204,267,778 |
Net realized gain (loss) | (39,125,381 ) | 4,696,091 | 186,882,603 |
Net change in unrealized appreciation (depreciation) on investments | 233,009,394 | (2,826,324 ) | (215,859,342 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 193,884,013 | 1,869,767 | (28,976,739 ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $198,776,697 | $14,856,793 | $10,733,817 |
First Trust Financials AlphaDEX® Fund (FXO) | First Trust Health Care AlphaDEX® Fund (FXH) | First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) | First Trust Materials AlphaDEX® Fund (FXZ) | First Trust Technology AlphaDEX® Fund (FXL) | First Trust Utilities AlphaDEX® Fund (FXU) |
$42,203,262 | $12,268,570 | $22,568,005 | $31,213,098 | $8,682,205 | $10,225,301 |
1,559,971 | 167,350 | 83,452 | 925 | 244,520 | 2,534 |
(53,358 ) | — | — | (194,527 ) | — | (27,843 ) |
43,709,875 | 12,435,920 | 22,651,457 | 31,019,496 | 8,926,725 | 10,199,992 |
5,933,523 | 7,693,304 | 7,881,258 | 7,037,988 | 5,286,169 | 1,840,420 |
573,363 | 716,990 | 732,206 | 658,919 | 523,836 | 185,318 |
474,682 | 615,464 | 630,501 | 563,039 | 422,893 | 147,233 |
111,727 | 116,371 | 114,443 | 106,266 | 90,786 | 27,692 |
53,937 | 63,467 | 64,406 | 58,827 | 51,267 | 18,404 |
30,723 | 30,839 | 31,059 | 29,729 | 31,529 | 29,428 |
48,458 | 50,254 | 51,076 | 52,319 | 25,074 | 12,498 |
128,002 | 153,279 | 136,330 | 174,151 | 53,379 | 64,733 |
10,658 | 8,830 | 10,645 | 8,830 | 8,834 | 8,834 |
8,600 | 8,780 | 8,805 | 8,992 | 8,429 | 8,010 |
20,895 | 26,692 | 27,213 | 24,386 | 21,382 | 7,212 |
7,394,568 | 9,484,270 | 9,687,942 | 8,723,446 | 6,523,578 | 2,349,782 |
36,315,307 | 2,951,650 | 12,963,515 | 22,296,050 | 2,403,147 | 7,850,210 |
(217,493,230 ) | (40,936,671 ) | (147,309,478 ) | (95,579,764 ) | (111,011,632 ) | (10,404,497 ) |
(58,210,419 ) | 44,320,717 | 122,888,403 | (4,599,972 ) | 19,848,110 | 19,181,409 |
(275,703,649 ) | 3,384,046 | (24,421,075 ) | (100,179,736 ) | (91,163,522 ) | 8,776,912 |
23,420,964 | (35,025,625 ) | 241,729,327 | 113,097,946 | 247,503,716 | (35,308,860 ) |
(252,282,685 ) | (31,641,579 ) | 217,308,252 | 12,918,210 | 156,340,194 | (26,531,948 ) |
$(215,967,378 ) | $(28,689,929 ) | $230,271,767 | $35,214,260 | $158,743,341 | $(18,681,738 ) |
Sector Funds
Statements of Changes in Net Assets
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) | First Trust Consumer Staples AlphaDEX® Fund (FXG) | |||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $4,892,684 | $12,047,240 | $12,987,026 | $5,452,882 |
Net realized gain (loss) | (39,125,381 ) | 154,046,852 | 4,696,091 | 12,107,920 |
Net change in unrealized appreciation (depreciation) | 233,009,394 | (441,734,956 ) | (2,826,324 ) | 14,116,145 |
Net increase (decrease) in net assets resulting from operations | 198,776,697 | (275,640,864 ) | 14,856,793 | 31,676,947 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (4,813,851 ) | (13,315,221 ) | (13,063,057 ) | (4,675,407 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 1,142,163,400 | 821,836,474 | 187,021,189 | 502,041,230 |
Cost of shares redeemed | (226,064,609 ) | (2,086,899,315 ) | (182,940,815 ) | (125,700,060 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 916,098,791 | (1,265,062,841 ) | 4,080,374 | 376,341,170 |
Total increase (decrease) in net assets | 1,110,061,637 | (1,554,018,926 ) | 5,874,110 | 403,342,710 |
NET ASSETS: | ||||
Beginning of period | 394,116,919 | 1,948,135,845 | 650,653,488 | 247,310,778 |
End of period | $1,504,178,556 | $394,116,919 | $656,527,598 | $650,653,488 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 7,950,002 | 31,750,002 | 10,200,002 | 4,400,002 |
Shares sold | 22,750,000 | 14,350,000 | 2,950,000 | 7,850,000 |
Shares redeemed | (4,500,000 ) | (38,150,000 ) | (2,950,000 ) | (2,050,000 ) |
Shares outstanding, end of period | 26,200,002 | 7,950,002 | 10,200,002 | 10,200,002 |
First Trust Energy AlphaDEX® Fund (FXN) | First Trust Financials AlphaDEX® Fund (FXO) | First Trust Health Care AlphaDEX® Fund (FXH) | |||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 |
$39,710,556 | $20,991,279 | $36,315,307 | $29,707,133 | $2,951,650 | $1,824,839 |
186,882,603 | 102,779,022 | (275,703,649 ) | 143,892,144 | 3,384,046 | (4,568,756 ) |
(215,859,342 ) | 205,525,000 | 23,420,964 | (214,313,440 ) | (35,025,625 ) | (177,329,197 ) |
10,733,817 | 329,295,301 | (215,967,378 ) | (40,714,163 ) | (28,689,929 ) | (180,073,114 ) |
(40,310,566 ) | (19,922,141 ) | (36,401,587 ) | (28,346,142 ) | (4,384,241 ) | — |
611,336,353 | 1,605,588,558 | 1,466,464,796 | 604,854,268 | 248,534,264 | 252,759,574 |
(1,679,363,136 ) | (578,637,025 ) | (1,491,809,460 ) | (676,942,289 ) | (197,368,260 ) | (173,706,436 ) |
(1,068,026,783 ) | 1,026,951,533 | (25,344,664 ) | (72,088,021 ) | 51,166,004 | 79,053,138 |
(1,097,603,532 ) | 1,336,324,693 | (277,713,629 ) | (141,148,326 ) | 18,091,834 | (101,019,976 ) |
1,665,290,905 | 328,966,212 | 1,171,737,744 | 1,312,886,070 | 1,503,727,896 | 1,604,747,872 |
$567,687,373 | $1,665,290,905 | $894,024,115 | $1,171,737,744 | $1,521,819,730 | $1,503,727,896 |
99,150,002 | 31,850,002 | 28,250,002 | 30,250,002 | 13,850,002 | 13,150,002 |
35,050,000 | 109,350,000 | 32,950,000 | 13,250,000 | 2,300,000 | 2,250,000 |
(101,300,000 ) | (42,050,000 ) | (39,650,000 ) | (15,250,000 ) | (1,850,000 ) | (1,550,000 ) |
32,900,002 | 99,150,002 | 21,550,002 | 28,250,002 | 14,300,002 | 13,850,002 |
Sector Funds
Statements of Changes in Net Assets (Continued)
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) | First Trust Materials AlphaDEX® Fund (FXZ) | |||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $12,963,515 | $12,729,384 | $22,296,050 | $16,484,011 |
Net realized gain (loss) | (24,421,075 ) | (17,448,344 ) | (100,179,736 ) | 75,814,579 |
Net change in unrealized appreciation (depreciation) | 241,729,327 | (177,157,775 ) | 113,097,946 | (187,817,992 ) |
Net increase (decrease) in net assets resulting from operations | 230,271,767 | (181,876,735 ) | 35,214,260 | (95,519,402 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (13,417,111 ) | (11,751,221 ) | (25,653,523 ) | (12,438,026 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 632,978,315 | 880,928,164 | 529,740,897 | 2,011,606,379 |
Cost of shares redeemed | (665,443,450 ) | (876,678,313 ) | (1,517,771,623 ) | (796,095,645 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (32,465,135 ) | 4,249,851 | (988,030,726 ) | 1,215,510,734 |
Total increase (decrease) in net assets | 184,389,521 | (189,378,105 ) | (978,469,989 ) | 1,107,553,306 |
NET ASSETS: | ||||
Beginning of period | 1,578,226,384 | 1,767,604,489 | 1,567,915,127 | 460,361,821 |
End of period | $1,762,615,905 | $1,578,226,384 | $589,445,138 | $1,567,915,127 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 29,400,002 | 29,700,002 | 25,300,002 | 7,950,002 |
Shares sold | 11,000,000 | 15,200,000 | 8,050,000 | 29,600,000 |
Shares redeemed | (11,900,000 ) | (15,500,000 ) | (24,700,000 ) | (12,250,000 ) |
Shares outstanding, end of period | 28,500,002 | 29,400,002 | 8,650,002 | 25,300,002 |
First Trust Technology AlphaDEX® Fund (FXL) | First Trust Utilities AlphaDEX® Fund (FXU) | ||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 |
$2,403,147 | $5,019,606 | $7,850,210 | $5,320,667 |
(91,163,522 ) | 252,346,513 | 8,776,912 | (244,036 ) |
247,503,716 | (502,005,673 ) | (35,308,860 ) | 24,546,526 |
158,743,341 | (244,639,554 ) | (18,681,738 ) | 29,623,157 |
(2,735,225 ) | (4,345,452 ) | (8,168,861 ) | (4,580,661 ) |
74,597,705 | 89,100,450 | 162,348,780 | 225,477,669 |
(142,687,202 ) | (1,365,024,963 ) | (225,986,529 ) | (28,108,801 ) |
(68,089,497 ) | (1,275,924,513 ) | (63,637,749 ) | 197,368,868 |
87,918,619 | (1,524,909,519 ) | (90,488,348 ) | 222,411,364 |
1,143,164,046 | 2,668,073,565 | 396,557,742 | 174,146,378 |
$1,231,082,665 | $1,143,164,046 | $306,069,394 | $396,557,742 |
10,955,000 | 21,255,000 | 11,550,002 | 5,650,002 |
750,000 | 700,000 | 4,850,000 | 6,800,000 |
(1,450,000 ) | (11,000,000 ) | (7,000,000 ) | (900,000 ) |
10,255,000 | 10,955,000 | 9,400,002 | 11,550,002 |
Sector Funds
Financial Highlights
For a share outstanding throughout each period
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $49.57 | $61.36 | $39.70 | $43.40 | $42.42 |
Income from investment operations: | |||||
Net investment income (loss) | 0.35 (a) | 0.52 | 0.20 | 0.36 | 0.37 |
Net realized and unrealized gain (loss) | 7.95 | (11.78 ) | 21.61 | (3.61 ) | 0.93 |
Total from investment operations | 8.30 | (11.26 ) | 21.81 | (3.25 ) | 1.30 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.46 ) | (0.53 ) | (0.15 ) | (0.45 ) | (0.32 ) |
Net asset value, end of period | $57.41 | $49.57 | $61.36 | $39.70 | $43.40 |
Total return (b) | 16.93 % | (18.43 )% | 54.99 % | (7.39 )% | 3.13 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,504,179 | $394,117 | $1,948,136 | $948,948 | $384,117 |
Ratio of total expenses to average net assets | 0.61 % | 0.61 % | 0.61 % | 0.63 % | 0.64 % |
Ratio of net investment income (loss) to average net assets | 0.71 % | 0.82 % | 0.38 % | 0.77 % | 0.90 % |
Portfolio turnover rate (c) | 110 % | 76 % | 88 % | 115 % | 97 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Consumer Staples AlphaDEX® Fund (FXG)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $63.79 | $56.21 | $48.76 | $45.80 | $46.50 |
Income from investment operations: | |||||
Net investment income (loss) | 1.20 (a) | 0.81 | 0.79 | 0.84 | 0.70 |
Net realized and unrealized gain (loss) | 0.56 | 7.55 | 7.40 | 2.98 | (0.32 ) |
Total from investment operations | 1.76 | 8.36 | 8.19 | 3.82 | 0.38 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.18 ) | (0.78 ) | (0.74 ) | (0.86 ) | (1.08 ) |
Net asset value, end of period | $64.37 | $63.79 | $56.21 | $48.76 | $45.80 |
Total return (b) | 2.87 % | 14.95 % | 16.88 % | 8.46 % | 0.83 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $656,528 | $650,653 | $247,311 | $258,429 | $329,792 |
Ratio of total expenses to average net assets | 0.63 % | 0.63 % | 0.64 % | 0.63 % | 0.64 % |
Ratio of net investment income (loss) to average net assets | 1.92 % | 1.41 % | 1.43 % | 1.72 % | 1.51 % |
Portfolio turnover rate (c) | 63 % | 88 % | 94 % | 113 % | 90 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Energy AlphaDEX® Fund (FXN)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $16.80 | $10.33 | $6.54 | $10.88 | $17.10 |
Income from investment operations: | |||||
Net investment income (loss) | 0.52 (a) | 0.27 | 0.31 | 0.16 | 0.16 |
Net realized and unrealized gain (loss) | 0.50 (b) | 6.46 | 3.81 | (4.31 ) | (6.25 ) |
Total from investment operations | 1.02 | 6.73 | 4.12 | (4.15 ) | (6.09 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.57 ) | (0.26 ) | (0.33 ) | (0.19 ) | (0.13 ) |
Net asset value, end of period | $17.25 | $16.80 | $10.33 | $6.54 | $10.88 |
Total return (c) | 6.38 % | 65.76 % | 66.66 % | (38.32 )% | (35.77 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $567,687 | $1,665,291 | $328,966 | $615,795 | $122,374 |
Ratio of total expenses to average net assets | 0.62 % | 0.61 % | 0.64 % | 0.64 % | 0.65 % |
Ratio of net investment income (loss) to average net assets | 3.01 % | 2.34 % | 1.70 % | 2.39 % | 1.17 % |
Portfolio turnover rate (d) | 58 % | 79 % | 71 % | 165 % | 99 % |
(a) | Based on average shares outstanding. |
(b) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Financials AlphaDEX® Fund (FXO)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $41.48 | $43.40 | $25.87 | $32.35 | $32.04 |
Income from investment operations: | |||||
Net investment income (loss) | 1.28 (a) | 0.92 | 0.81 | 0.72 | 0.65 |
Net realized and unrealized gain (loss) | (0.05 ) | (1.97 ) | 17.55 | (6.37 ) | 0.25 |
Total from investment operations | 1.23 | (1.05 ) | 18.36 | (5.65 ) | 0.90 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.22 ) | (0.87 ) | (0.83 ) | (0.83 ) | (0.59 ) |
Net asset value, end of period | $41.49 | $41.48 | $43.40 | $25.87 | $32.35 |
Total return (b) | 3.24 % | (2.52 )% | 71.99 % | (17.56 )% | 3.03 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $894,024 | $1,171,738 | $1,312,886 | $538,172 | $988,353 |
Ratio of total expenses to average net assets | 0.62 % | 0.62 % | 0.61 % | 0.62 % | 0.63 % |
Ratio of net investment income (loss) to average net assets | 3.06 % | 2.10 % | 2.25 % | 2.36 % | 2.06 % |
Portfolio turnover rate (c) | 78 % | 64 % | 86 % | 90 % | 81 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Health Care AlphaDEX® Fund (FXH)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $108.57 | $122.03 | $95.29 | $77.62 | $76.80 |
Income from investment operations: | |||||
Net investment income (loss) | 0.21 (a) | 0.13 | (0.15 ) | 0.01 | (0.11 ) |
Net realized and unrealized gain (loss) | (2.06 ) | (13.59 ) | 26.89 | 17.66 | 0.93 |
Total from investment operations | (1.85 ) | (13.46 ) | 26.74 | 17.67 | 0.82 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.30 ) | — | — | — | — |
Net asset value, end of period | $106.42 | $108.57 | $122.03 | $95.29 | $77.62 |
Total return (b) | (1.69 )% | (11.03 )% | 28.08 % | 22.75 % | 1.07 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,521,820 | $1,503,728 | $1,604,748 | $1,348,309 | $1,183,740 |
Ratio of total expenses to average net assets | 0.62 % | 0.61 % | 0.61 % | 0.61 % | 0.62 % |
Ratio of net investment income (loss) to average net assets | 0.19 % | 0.12 % | (0.14 )% | 0.01 % | (0.11 )% |
Portfolio turnover rate (c) | 94 % | 88 % | 103 % | 107 % | 123 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $53.68 | $59.52 | $39.13 | $42.49 | $41.28 |
Income from investment operations: | |||||
Net investment income (loss) | 0.45 (a) | 0.42 | 0.33 | 0.58 | 0.30 |
Net realized and unrealized gain (loss) | 8.18 | (5.87 ) | 20.42 | (3.29 ) | 1.17 |
Total from investment operations | 8.63 | (5.45 ) | 20.75 | (2.71 ) | 1.47 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.46 ) | (0.39 ) | (0.36 ) | (0.65 ) | (0.26 ) |
Net asset value, end of period | $61.85 | $53.68 | $59.52 | $39.13 | $42.49 |
Total return (b) | 16.23 % | (9.16 )% | 53.21 % | (6.30 )% | 3.67 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,762,616 | $1,578,226 | $1,767,604 | $179,979 | $378,173 |
Ratio of total expenses to average net assets | 0.61 % | 0.61 % | 0.61 % | 0.64 % | 0.63 % |
Ratio of net investment income (loss) to average net assets | 0.82 % | 0.74 % | 0.55 % | 1.30 % | 0.71 % |
Portfolio turnover rate (c) | 81 % | 77 % | 91 % | 97 % | 79 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Materials AlphaDEX® Fund (FXZ)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $61.97 | $57.91 | $35.85 | $38.48 | $43.31 |
Income from investment operations: | |||||
Net investment income (loss) | 1.00 (a) | 0.89 | 0.72 | 0.71 | 0.50 |
Net realized and unrealized gain (loss) | 6.50 | 3.93 (b) | 22.05 | (2.57 ) | (4.88 ) |
Total from investment operations | 7.50 | 4.82 | 22.77 | (1.86 ) | (4.38 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (1.33 ) | (0.76 ) | (0.71 ) | (0.77 ) | (0.45 ) |
Net asset value, end of period | $68.14 | $61.97 | $57.91 | $35.85 | $38.48 |
Total return (c) | 12.41 % | 8.37 % | 64.02 % | (4.78 )% | (10.08 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $589,445 | $1,567,915 | $460,362 | $96,795 | $167,369 |
Ratio of total expenses to average net assets | 0.62 % | 0.61 % | 0.64 % | 0.67 % | 0.65 % |
Ratio of net investment income (loss) to average net assets | 1.58 % | 1.69 % | 1.39 % | 1.95 % | 1.27 % |
Portfolio turnover rate (d) | 35 % | 60 % | 77 % | 84 % | 82 % |
(a) | Based on average shares outstanding. |
(b) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Technology AlphaDEX® Fund (FXL)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $104.35 | $125.53 | $89.44 | $69.32 | $56.54 |
Income from investment operations: | |||||
Net investment income (loss) | 0.23 (a) | 0.34 | (0.06 ) | 0.11 | 0.31 |
Net realized and unrealized gain (loss) | 15.73 | (21.21 ) | 36.15 | 20.17 | 12.75 |
Total from investment operations | 15.96 | (20.87 ) | 36.09 | 20.28 | 13.06 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.26 ) | (0.31 ) | — | (0.16 ) | (0.28 ) |
Net asset value, end of period | $120.05 | $104.35 | $125.53 | $89.44 | $69.32 |
Total return (b) | 15.36 % | (16.64 )% | 40.34 % | 29.33 % | 23.20 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,231,083 | $1,143,164 | $2,668,074 | $2,205,109 | $2,395,347 |
Ratio of total expenses to average net assets | 0.62 % | 0.61 % | 0.61 % | 0.61 % | 0.61 % |
Ratio of net investment income (loss) to average net assets | 0.23 % | 0.27 % | (0.05 )% | 0.16 % | 0.50 % |
Portfolio turnover rate (c) | 104 % | 91 % | 92 % | 110 % | 91 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Utilities AlphaDEX® Fund (FXU)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $34.33 | $30.82 | $27.54 | $28.87 | $26.37 |
Income from investment operations: | |||||
Net investment income (loss) | 0.70 (a) | 0.69 | 0.68 | 1.05 | 0.63 |
Net realized and unrealized gain (loss) | (1.75 ) | 3.47 | 3.32 | (1.29 ) | 2.43 |
Total from investment operations | (1.05 ) | 4.16 | 4.00 | (0.24 ) | 3.06 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.72 ) | (0.65 ) | (0.72 ) | (1.09 ) | (0.56 ) |
Net asset value, end of period | $32.56 | $34.33 | $30.82 | $27.54 | $28.87 |
Total return (b) | (3.01 )% | 13.69 % | 14.80 % | (0.70 )% | 11.71 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $306,069 | $396,558 | $174,146 | $229,988 | $1,349,541 |
Ratio of total expenses to average net assets | 0.64 % | 0.64 % | 0.64 % | 0.62 % | 0.63 % |
Ratio of net investment income (loss) to average net assets | 2.13 % | 2.22 % | 2.33 % | 2.42 % | 2.23 % |
Portfolio turnover rate (c) | 46 % | 48 % | 38 % | 64 % | 60 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Sector Funds
July 31, 2023
First Trust Consumer Discretionary AlphaDEX® Fund – (ticker “FXD”) |
First Trust Consumer Staples AlphaDEX® Fund – (ticker “FXG”) |
First Trust Energy AlphaDEX® Fund – (ticker “FXN”) |
First Trust Financials AlphaDEX® Fund – (ticker “FXO”) |
First Trust Health Care AlphaDEX® Fund – (ticker “FXH”) |
First Trust Industrials/Producer Durables AlphaDEX® Fund – (ticker “FXR”) |
First Trust Materials AlphaDEX® Fund – (ticker “FXZ”) |
First Trust Technology AlphaDEX® Fund – (ticker “FXL”) |
First Trust Utilities AlphaDEX® Fund – (ticker “FXU”) |
Fund | Index |
First Trust Consumer Discretionary AlphaDEX® Fund | StrataQuant® Consumer Discretionary Index(1) |
First Trust Consumer Staples AlphaDEX® Fund | StrataQuant® Consumer Staples Index(1) |
First Trust Energy AlphaDEX® Fund | StrataQuant® Energy Index(1) |
First Trust Financials AlphaDEX® Fund | StrataQuant® Financials Index(1) |
First Trust Health Care AlphaDEX® Fund | StrataQuant® Health Care Index(1) |
First Trust Industrials/Producer Durables AlphaDEX® Fund | StrataQuant® Industrials Index(1) |
First Trust Materials AlphaDEX® Fund | StrataQuant® Materials Index(1) |
First Trust Technology AlphaDEX® Fund | StrataQuant® Technology Index(1) |
First Trust Utilities AlphaDEX® Fund | StrataQuant® Utilities Index(1) |
(1) | This index is developed, maintained and sponsored by ICE Data Indices, LLC or its affiliates (“IDI”), and licensed to First Trust Portfolios L.P. (“FTP”), the distributor of the Trust, by IDI. IDI is a successor-in-interest to previous entities that maintained the index in NYSE Group, Inc. and American Stock Exchange LLC. |
Sector Funds
July 31, 2023
Sector Funds
July 31, 2023
Sector Funds
July 31, 2023
Sector Funds
July 31, 2023
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Consumer Discretionary AlphaDEX® Fund | $4,813,851 | $— | $— |
First Trust Consumer Staples AlphaDEX® Fund | 13,063,057 | — | — |
First Trust Energy AlphaDEX® Fund | 40,310,566 | — | — |
First Trust Financials AlphaDEX® Fund | 36,401,587 | — | — |
First Trust Health Care AlphaDEX® Fund | 4,384,241 | — | — |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 13,417,111 | — | — |
First Trust Materials AlphaDEX® Fund | 25,653,523 | — | — |
First Trust Technology AlphaDEX® Fund | 2,735,225 | — | — |
First Trust Utilities AlphaDEX® Fund | 8,168,861 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Consumer Discretionary AlphaDEX® Fund | $13,315,221 | $— | $— |
First Trust Consumer Staples AlphaDEX® Fund | 4,675,407 | — | — |
First Trust Energy AlphaDEX® Fund | 19,922,141 | — | — |
First Trust Financials AlphaDEX® Fund | 28,346,142 | — | — |
First Trust Health Care AlphaDEX® Fund | — | — | — |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 11,751,221 | — | — |
First Trust Materials AlphaDEX® Fund | 12,438,026 | — | — |
First Trust Technology AlphaDEX® Fund | 4,345,452 | — | — |
First Trust Utilities AlphaDEX® Fund | 4,580,661 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Consumer Discretionary AlphaDEX® Fund | $421,718 | $(468,248,520 ) | $155,902,281 |
First Trust Consumer Staples AlphaDEX® Fund | 1,067,475 | (273,317,250 ) | 19,532,663 |
First Trust Energy AlphaDEX® Fund | 572,144 | (517,973,838 ) | 8,284,614 |
First Trust Financials AlphaDEX® Fund | 3,445,116 | (435,702,005 ) | (44,242,109 ) |
First Trust Health Care AlphaDEX® Fund | 12,215 | (643,402,809 ) | 79,181,916 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 794,464 | (412,619,937 ) | 204,669,297 |
First Trust Materials AlphaDEX® Fund | 992,414 | (259,606,707 ) | (41,451,602 ) |
First Trust Technology AlphaDEX® Fund | — | (730,916,415 ) | 233,878,846 |
First Trust Utilities AlphaDEX® Fund | 730,621 | (201,998,346 ) | (10,735,832 ) |
Sector Funds
July 31, 2023
Non-Expiring Capital Loss Carryforwards | |
First Trust Consumer Discretionary AlphaDEX® Fund | $468,248,520 |
First Trust Consumer Staples AlphaDEX® Fund | 273,317,250 |
First Trust Energy AlphaDEX® Fund | 517,973,838 |
First Trust Financials AlphaDEX® Fund | 435,702,005 |
First Trust Health Care AlphaDEX® Fund | 643,402,809 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 412,619,937 |
First Trust Materials AlphaDEX® Fund | 259,606,707 |
First Trust Technology AlphaDEX® Fund | 730,916,415 |
First Trust Utilities AlphaDEX® Fund | 201,998,346 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
First Trust Consumer Discretionary AlphaDEX® Fund | $— | $(9,547,690 ) | $9,547,690 |
First Trust Consumer Staples AlphaDEX® Fund | — | (22,599,705 ) | 22,599,705 |
First Trust Energy AlphaDEX® Fund | — | (194,720,360 ) | 194,720,360 |
First Trust Financials AlphaDEX® Fund | 854,490 | 94,520,289 | (95,374,779 ) |
First Trust Health Care AlphaDEX® Fund | — | (42,163,398 ) | 42,163,398 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | — | (115,739,840 ) | 115,739,840 |
First Trust Materials AlphaDEX® Fund | — | 31,951,030 | (31,951,030 ) |
First Trust Technology AlphaDEX® Fund | 332,078 | (16,850,482 ) | 16,518,404 |
First Trust Utilities AlphaDEX® Fund | — | (16,602,708 ) | 16,602,708 |
Sector Funds
July 31, 2023
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Consumer Discretionary AlphaDEX® Fund | $1,353,179,462 | $202,313,765 | $(46,411,484 ) | $155,902,281 |
First Trust Consumer Staples AlphaDEX® Fund | 636,789,322 | 52,859,236 | (33,326,573 ) | 19,532,663 |
First Trust Energy AlphaDEX® Fund | 567,900,294 | 38,914,505 | (30,629,891 ) | 8,284,614 |
First Trust Financials AlphaDEX® Fund | 981,404,334 | 51,742,204 | (95,984,313 ) | (44,242,109 ) |
First Trust Health Care AlphaDEX® Fund | 1,443,268,953 | 176,115,372 | (96,933,456 ) | 79,181,916 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 1,558,574,549 | 246,934,850 | (42,265,553 ) | 204,669,297 |
First Trust Materials AlphaDEX® Fund | 631,262,089 | 29,469,600 | (70,921,202 ) | (41,451,602 ) |
First Trust Technology AlphaDEX® Fund | 1,006,401,588 | 256,397,190 | (22,518,344 ) | 233,878,846 |
First Trust Utilities AlphaDEX® Fund | 316,828,842 | 12,242,863 | (22,978,695 ) | (10,735,832 ) |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.5000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.4875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.4750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.4625 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.4500 % |
Fund net assets greater than $15 billion | 0.4250 % |
Sector Funds
July 31, 2023
Purchases | Sales | |
First Trust Consumer Discretionary AlphaDEX® Fund | $801,285,842 | $800,474,588 |
First Trust Consumer Staples AlphaDEX® Fund | 425,902,149 | 424,928,249 |
First Trust Energy AlphaDEX® Fund | 758,310,950 | 755,279,295 |
First Trust Financials AlphaDEX® Fund | 891,953,700 | 891,850,073 |
First Trust Health Care AlphaDEX® Fund | 1,445,211,874 | 1,445,629,478 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 1,280,192,168 | 1,278,382,321 |
First Trust Materials AlphaDEX® Fund | 478,354,658 | 483,146,098 |
First Trust Technology AlphaDEX® Fund | 1,111,441,170 | 1,110,081,738 |
First Trust Utilities AlphaDEX® Fund | 170,435,004 | 169,576,878 |
Purchases | Sales | |
First Trust Consumer Discretionary AlphaDEX® Fund | $1,139,452,550 | $225,393,144 |
First Trust Consumer Staples AlphaDEX® Fund | 186,176,839 | 182,493,713 |
First Trust Energy AlphaDEX® Fund | 609,982,951 | 1,676,517,783 |
First Trust Financials AlphaDEX® Fund | 1,462,798,642 | 1,487,189,186 |
First Trust Health Care AlphaDEX® Fund | 248,273,324 | 197,091,792 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 632,276,041 | 665,034,173 |
First Trust Materials AlphaDEX® Fund | 528,961,802 | 1,514,292,835 |
First Trust Technology AlphaDEX® Fund | 74,566,772 | 142,553,741 |
First Trust Utilities AlphaDEX® Fund | 161,967,395 | 225,330,816 |
Sector Funds
July 31, 2023
September 22, 2023
Sector Funds
July 31, 2023 (Unaudited)
Dividends Received Deduction | |
First Trust Consumer Discretionary AlphaDEX® Fund | 100.00 % |
First Trust Consumer Staples AlphaDEX® Fund | 100.00 % |
First Trust Energy AlphaDEX® Fund | 100.00 % |
First Trust Financials AlphaDEX® Fund | 83.68 % |
First Trust Health Care AlphaDEX® Fund | 100.00 % |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 100.00 % |
First Trust Materials AlphaDEX® Fund | 100.00 % |
First Trust Technology AlphaDEX® Fund | 100.00 % |
First Trust Utilities AlphaDEX® Fund | 100.00 % |
Qualified Dividend Income | |
First Trust Consumer Discretionary AlphaDEX® Fund | 100.00 % |
First Trust Consumer Staples AlphaDEX® Fund | 100.00 % |
First Trust Energy AlphaDEX® Fund | 100.00 % |
First Trust Financials AlphaDEX® Fund | 83.68 % |
First Trust Health Care AlphaDEX® Fund | 100.00 % |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 100.00 % |
First Trust Materials AlphaDEX® Fund | 100.00 % |
First Trust Technology AlphaDEX® Fund | 100.00 % |
First Trust Utilities AlphaDEX® Fund | 100.00 % |
Sector Funds
July 31, 2023 (Unaudited)
Sector Funds
July 31, 2023 (Unaudited)
Sector Funds
July 31, 2023 (Unaudited)
Sector Funds
July 31, 2023 (Unaudited)
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) |
First Trust Consumer Staples AlphaDEX® Fund (FXG) |
First Trust Energy AlphaDEX® Fund (FXN) |
First Trust Financials AlphaDEX® Fund (FXO) |
First Trust Health Care AlphaDEX® Fund (FXH) |
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) |
First Trust Materials AlphaDEX® Fund (FXZ) |
First Trust Technology AlphaDEX® Fund (FXL) |
First Trust Utilities AlphaDEX® Fund (FXU) |
Sector Funds
July 31, 2023 (Unaudited)
Sector Funds
July 31, 2023 (Unaudited)
Sector Funds
July 31, 2023 (Unaudited)
July 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 238 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 238 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 238 | None |
July 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 - present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
July 31, 2023 (Unaudited)
Sector Funds
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
First Trust Large Cap Core AlphaDEX® Fund (FEX) |
First Trust Mid Cap Core AlphaDEX® Fund (FNX) |
First Trust Small Cap Core AlphaDEX® Fund (FYX) |
First Trust Large Cap Value AlphaDEX® Fund (FTA) |
First Trust Large Cap Growth AlphaDEX® Fund (FTC) |
First Trust Multi Cap Value AlphaDEX® Fund (FAB) |
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) |
First Trust Mid Cap Value AlphaDEX® Fund (FNK) |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
First Trust Small Cap Value AlphaDEX® Fund (FYT) |
First Trust Small Cap Growth AlphaDEX® Fund (FYC) |
Style Funds
Annual Report
July 31, 2023
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Annual Letter from the Chairman and CEO
July 31, 2023
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Annual Report
July 31, 2023
Senior Vice President and Chief Market Strategist
First Trust Advisors L.P.
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 8.86% | 9.02% | 10.38% | 8.15% | 54.02% | 168.59% | 256.77% |
Market Price | 8.86% | 9.02% | 10.38% | 8.15% | 53.99% | 168.47% | 256.87% |
Index Performance | |||||||
Nasdaq AlphaDEX® Large Cap Core Index(1) | 9.50% | 9.68% | N/A | N/A | 58.74% | N/A | N/A |
Nasdaq US 500 Large CapTM Index(1) | 13.13% | 12.15% | N/A | N/A | 77.46% | N/A | N/A |
S&P 500® Index | 13.02% | 12.20% | 12.66% | 9.28% | 77.78% | 229.36% | 321.99% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Industrials | 18.0% |
Information Technology | 17.8 |
Financials | 16.3 |
Consumer Discretionary | 9.8 |
Health Care | 7.4 |
Utilities | 7.2 |
Materials | 6.7 |
Energy | 5.4 |
Consumer Staples | 4.9 |
Real Estate | 3.3 |
Communication Services | 3.2 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
KeyCorp | 0.6% |
Palantir Technologies, Inc., Class A | 0.6 |
Citizens Financial Group, Inc. | 0.5 |
Ovintiv, Inc. | 0.5 |
Phillips 66 | 0.5 |
Mosaic (The) Co. | 0.5 |
Packaging Corp. of America | 0.5 |
MGM Resorts International | 0.5 |
Bunge Ltd. | 0.5 |
Westlake Corp. | 0.5 |
Total | 5.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 10.70% | 8.98% | 9.57% | 8.74% | 53.74% | 149.46% | 289.69% |
Market Price | 10.71% | 9.01% | 9.57% | 8.74% | 53.91% | 149.38% | 289.75% |
Index Performance | |||||||
Nasdaq AlphaDEX® Mid Cap Core Index(1) | 11.38% | 9.67% | N/A | N/A | 58.66% | N/A | N/A |
Nasdaq US 600 Mid CapTM Index(1) | 9.81% | 7.48% | N/A | N/A | 43.41% | N/A | N/A |
S&P MidCap 400® Index | 10.47% | 8.28% | 9.99% | 8.79% | 48.87% | 159.22% | 292.77% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Industrials | 21.3% |
Financials | 19.3 |
Consumer Discretionary | 17.6 |
Information Technology | 10.6 |
Energy | 6.4 |
Health Care | 6.3 |
Materials | 6.3 |
Real Estate | 3.8 |
Consumer Staples | 3.7 |
Utilities | 2.4 |
Communication Services | 2.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Western Alliance Bancorp | 0.5% |
SoFi Technologies, Inc. | 0.5 |
Super Micro Computer, Inc. | 0.5 |
Weatherford International PLC | 0.4 |
Saia, Inc. | 0.4 |
New York Community Bancorp, Inc. | 0.4 |
Signet Jewelers Ltd. | 0.4 |
Ryder System, Inc. | 0.4 |
DISH Network Corp., Class A | 0.4 |
DraftKings, Inc., Class A | 0.4 |
Total | 4.3% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 6.16% | 6.89% | 8.64% | 7.67% | 39.55% | 129.09% | 231.92% |
Market Price | 6.21% | 6.90% | 8.64% | 7.67% | 39.61% | 129.11% | 231.97% |
Index Performance | |||||||
Nasdaq AlphaDEX® Small Cap Core Index(1) | 6.88% | 7.62% | N/A | N/A | 44.35% | N/A | N/A |
Nasdaq US 700 Small CapTM Index(1) | 8.21% | 6.32% | N/A | N/A | 35.88% | N/A | N/A |
S&P SmallCap 600® Index | 5.26% | 5.70% | 9.67% | 8.40% | 31.92% | 151.73% | 270.23% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Financials | 23.7% |
Industrials | 16.4 |
Consumer Discretionary | 13.3 |
Health Care | 9.1 |
Information Technology | 8.7 |
Energy | 7.6 |
Real Estate | 7.5 |
Consumer Staples | 4.8 |
Materials | 4.4 |
Communication Services | 3.3 |
Utilities | 1.2 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Sphere Entertainment Co. | 0.5% |
Hudson Pacific Properties, Inc. | 0.4 |
Bread Financial Holdings, Inc. | 0.4 |
MillerKnoll, Inc. | 0.4 |
Eagle Bancorp, Inc. | 0.4 |
Hope Bancorp, Inc. | 0.4 |
Opendoor Technologies, Inc. | 0.4 |
Dime Community Bancshares, Inc. | 0.4 |
Heartland Financial USA, Inc. | 0.4 |
Rocket Lab USA, Inc. | 0.4 |
Total | 4.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 8.90% | 7.57% | 8.76% | 7.33% | 44.05% | 131.60% | 215.08% |
Market Price | 8.90% | 7.56% | 8.75% | 7.33% | 43.97% | 131.41% | 215.06% |
Index Performance | |||||||
Nasdaq AlphaDEX® Large Cap Value Index(1) | 9.57% | 8.24% | N/A | N/A | 48.61% | N/A | N/A |
Nasdaq US 500 Large Cap ValueTM Index(1) | 11.59% | 10.29% | N/A | N/A | 63.21% | N/A | N/A |
S&P 500® Index | 13.02% | 12.20% | 12.66% | 9.28% | 77.78% | 229.36% | 321.99% |
S&P 500® Value Index | 17.16% | 10.44% | 10.33% | 7.13% | 64.29% | 167.32% | 205.97% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Financials | 24.9% |
Industrials | 12.8 |
Utilities | 12.4 |
Materials | 9.1 |
Health Care | 7.7 |
Consumer Staples | 7.5 |
Consumer Discretionary | 6.8 |
Information Technology | 6.0 |
Energy | 4.9 |
Communication Services | 4.7 |
Real Estate | 3.2 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
KeyCorp | 1.1% |
Citizens Financial Group, Inc. | 1.1 |
Ovintiv, Inc. | 1.0 |
Phillips 66 | 1.0 |
Mosaic (The) Co. | 1.0 |
Packaging Corp. of America | 1.0 |
Bunge Ltd. | 1.0 |
Westlake Corp. | 1.0 |
Regions Financial Corp. | 1.0 |
Marathon Oil Corp. | 1.0 |
Total | 10.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 8.71% | 9.86% | 11.77% | 8.62% | 60.00% | 204.21% | 282.73% |
Market Price | 8.59% | 9.82% | 11.76% | 8.62% | 59.75% | 203.88% | 282.42% |
Index Performance | |||||||
Nasdaq AlphaDEX® Large Cap Growth Index(1) | 9.36% | 10.51% | N/A | N/A | 64.79% | N/A | N/A |
Nasdaq US 500 Large Cap GrowthTM Index(1) | 14.26% | 13.71% | N/A | N/A | 90.12% | N/A | N/A |
S&P 500® Index | 13.02% | 12.20% | 12.66% | 9.28% | 77.78% | 229.36% | 321.99% |
S&P 500® Growth Index | 8.00% | 12.92% | 14.27% | 10.98% | 83.62% | 279.50% | 442.10% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 30.1% |
Industrials | 22.4 |
Consumer Discretionary | 12.9 |
Financials | 7.6 |
Energy | 7.0 |
Health Care | 7.0 |
Materials | 4.5 |
Real Estate | 3.2 |
Consumer Staples | 2.0 |
Utilities | 1.8 |
Communication Services | 1.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Palantir Technologies, Inc., Class A | 1.1% |
MGM Resorts International | 1.0 |
Uber Technologies, Inc. | 1.0 |
ON Semiconductor Corp. | 1.0 |
Lam Research Corp. | 1.0 |
Booking Holdings, Inc. | 1.0 |
Marriott International, Inc., Class A | 1.0 |
HubSpot, Inc. | 1.0 |
NXP Semiconductors N.V. | 1.0 |
Reliance Steel & Aluminum Co. | 0.9 |
Total | 10.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 9.19% | 7.60% | 8.30% | 7.50% | 44.26% | 122.00% | 223.45% |
Market Price | 9.22% | 7.62% | 8.30% | 7.50% | 44.34% | 121.95% | 223.61% |
Index Performance | |||||||
Nasdaq AlphaDEX® Multi Cap Value Index(1) | 9.91% | 8.37% | N/A | N/A | 49.44% | N/A | N/A |
Nasdaq US Multi Cap Value Index(1) | 11.29% | 9.94% | N/A | N/A | 60.61% | N/A | N/A |
S&P Composite 1500® Index | 12.68% | 11.77% | 12.40% | 9.25% | 74.45% | 221.93% | 320.24% |
S&P Composite 1500® Value Index | 16.51% | 10.17% | 10.27% | 7.26% | 62.32% | 165.76% | 211.71% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Financials | 28.7% |
Industrials | 13.6 |
Consumer Discretionary | 11.1 |
Materials | 8.0 |
Utilities | 7.4 |
Consumer Staples | 5.9 |
Information Technology | 5.5 |
Health Care | 5.5 |
Energy | 5.5 |
Real Estate | 4.8 |
Communication Services | 4.0 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
KeyCorp | 0.6% |
Citizens Financial Group, Inc. | 0.5 |
Ovintiv, Inc. | 0.5 |
Phillips 66 | 0.5 |
Mosaic (The) Co. | 0.5 |
Packaging Corp. of America | 0.5 |
Bunge Ltd. | 0.5 |
Westlake Corp. | 0.5 |
Regions Financial Corp. | 0.5 |
Marathon Oil Corp. | 0.5 |
Total | 5.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (5/8/07) to 7/31/23 | |
Fund Performance | |||||||
NAV | 8.50% | 8.94% | 11.14% | 8.70% | 53.47% | 187.51% | 287.46% |
Market Price | 8.53% | 8.94% | 11.15% | 8.71% | 53.45% | 187.68% | 287.67% |
Index Performance | |||||||
Nasdaq AlphaDEX® Multi Cap Growth Index(1) | 9.19% | 9.67% | N/A | N/A | 58.64% | N/A | N/A |
Nasdaq US Multi Cap Growth Index(1) | 13.79% | 12.90% | N/A | N/A | 83.43% | N/A | N/A |
S&P Composite 1500® Index | 12.68% | 11.77% | 12.40% | 9.25% | 74.45% | 221.93% | 320.24% |
S&P Composite 1500® Growth Index | 8.05% | 12.44% | 13.88% | 10.85% | 79.69% | 266.88% | 431.90% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 23.2% |
Industrials | 22.8 |
Consumer Discretionary | 14.5 |
Health Care | 10.2 |
Energy | 7.7 |
Financials | 7.4 |
Materials | 4.2 |
Real Estate | 3.7 |
Consumer Staples | 2.8 |
Communication Services | 1.9 |
Utilities | 1.6 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Palantir Technologies, Inc., Class A | 0.6% |
MGM Resorts International | 0.5 |
Uber Technologies, Inc. | 0.5 |
ON Semiconductor Corp. | 0.5 |
Lam Research Corp. | 0.5 |
Booking Holdings, Inc. | 0.5 |
Marriott International, Inc., Class A | 0.5 |
HubSpot, Inc. | 0.5 |
NXP Semiconductors N.V. | 0.5 |
Reliance Steel & Aluminum Co. | 0.5 |
Total | 5.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | |
Fund Performance | |||||||
NAV | 11.95% | 7.78% | 7.90% | 9.05% | 45.47% | 113.93% | 189.87% |
Market Price | 11.87% | 7.79% | 7.90% | 9.05% | 45.48% | 113.81% | 189.80% |
Index Performance | |||||||
Nasdaq AlphaDEX® Mid Cap Value Index(1) | 12.81% | 8.59% | N/A | N/A | 51.00% | N/A | N/A |
Nasdaq US 600 Mid Cap ValueTM Index(1) | 10.82% | 6.97% | N/A | N/A | 40.05% | N/A | N/A |
S&P MidCap 400® Value Index | 10.96% | 8.49% | 9.77% | 10.46% | 50.28% | 154.05% | 239.39% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Financials | 30.3% |
Consumer Discretionary | 16.5 |
Industrials | 14.5 |
Materials | 7.1 |
Energy | 6.4 |
Information Technology | 5.8 |
Real Estate | 4.8 |
Health Care | 4.0 |
Communication Services | 3.7 |
Utilities | 3.5 |
Consumer Staples | 3.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Western Alliance Bancorp | 1.0% |
New York Community Bancorp, Inc. | 0.9 |
Signet Jewelers Ltd. | 0.9 |
Ryder System, Inc. | 0.8 |
DISH Network Corp., Class A | 0.8 |
Kilroy Realty Corp. | 0.8 |
HF Sinclair Corp. | 0.8 |
PBF Energy, Inc., Class A | 0.8 |
SM Energy Co. | 0.8 |
Hancock Whitney Corp. | 0.8 |
Total | 8.4% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | |
Fund Performance | |||||||
NAV | 9.37% | 8.99% | 10.78% | 10.54% | 53.82% | 178.47% | 242.20% |
Market Price | 9.39% | 8.99% | 10.78% | 10.54% | 53.82% | 178.24% | 242.20% |
Index Performance | |||||||
Nasdaq AlphaDEX® Mid Cap Growth Index(1) | 10.11% | 9.79% | N/A | N/A | 59.55% | N/A | N/A |
Nasdaq US 600 Mid Cap GrowthTM Index(1) | 8.85% | 6.92% | N/A | N/A | 39.74% | N/A | N/A |
S&P MidCap 400® Growth Index | 9.81% | 7.66% | 9.87% | 10.22% | 44.65% | 156.30% | 230.46% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Industrials | 26.7% |
Consumer Discretionary | 18.8 |
Information Technology | 16.7 |
Health Care | 10.1 |
Energy | 7.4 |
Financials | 6.7 |
Materials | 5.4 |
Consumer Staples | 3.3 |
Real Estate | 2.9 |
Utilities | 1.2 |
Communication Services | 0.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
SoFi Technologies, Inc. | 1.0% |
Super Micro Computer, Inc. | 1.0 |
Weatherford International PLC | 0.9 |
Saia, Inc. | 0.9 |
DraftKings, Inc., Class A | 0.9 |
EMCOR Group, Inc. | 0.8 |
Lennox International, Inc. | 0.8 |
Floor & Decor Holdings, Inc., Class A | 0.8 |
Hyatt Hotels Corp., Class A | 0.8 |
Axcelis Technologies, Inc. | 0.8 |
Total | 8.7% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | |
Fund Performance | |||||||
NAV | 5.61% | 6.83% | 7.39% | 9.07% | 39.16% | 104.05% | 190.57% |
Market Price | 5.68% | 6.83% | 7.39% | 9.07% | 39.17% | 103.94% | 190.53% |
Index Performance | |||||||
Nasdaq AlphaDEX® Small Cap Value Index(1) | 6.46% | 7.66% | N/A | N/A | 44.65% | N/A | N/A |
Nasdaq US 700 Small Cap ValueTM Index(1) | 6.53% | 6.83% | N/A | N/A | 39.12% | N/A | N/A |
S&P SmallCap 600® Value Index | 6.26% | 5.65% | 9.14% | 10.40% | 31.64% | 139.88% | 237.13% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Financials | 35.6% |
Industrials | 14.4 |
Consumer Discretionary | 13.6 |
Real Estate | 9.0 |
Materials | 6.6 |
Consumer Staples | 5.5 |
Energy | 5.4 |
Information Technology | 3.7 |
Communication Services | 2.6 |
Health Care | 2.3 |
Utilities | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Hudson Pacific Properties, Inc. | 0.8% |
Bread Financial Holdings, Inc. | 0.8 |
MillerKnoll, Inc. | 0.8 |
Eagle Bancorp, Inc. | 0.8 |
Hope Bancorp, Inc. | 0.8 |
Dime Community Bancshares, Inc. | 0.7 |
Heartland Financial USA, Inc. | 0.7 |
Matson, Inc. | 0.7 |
OceanFirst Financial Corp. | 0.7 |
Par Pacific Holdings, Inc. | 0.7 |
Total | 7.5% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | 5 Years Ended 7/31/23 | 10 Years Ended 7/31/23 | Inception (4/19/11) to 7/31/23 | |
Fund Performance | |||||||
NAV | 6.38% | 5.85% | 9.64% | 10.12% | 32.87% | 151.09% | 226.79% |
Market Price | 6.47% | 5.84% | 9.65% | 10.12% | 32.84% | 151.19% | 226.79% |
Index Performance | |||||||
Nasdaq AlphaDEX® Small Cap Growth Index(1) | 7.20% | 6.68% | N/A | N/A | 38.16% | N/A | N/A |
Nasdaq US 700 Small Cap GrowthTM Index(1) | 10.08% | 5.48% | N/A | N/A | 30.57% | N/A | N/A |
S&P SmallCap 600® Growth Index | 4.07% | 5.48% | 10.03% | 10.91% | 30.57% | 160.07% | 256.59% |
(1) | Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Sector Allocation | % of Total Long-Term Investments |
Health Care | 18.3% |
Industrials | 18.1 |
Information Technology | 15.5 |
Consumer Discretionary | 12.0 |
Energy | 10.1 |
Financials | 7.9 |
Real Estate | 6.2 |
Consumer Staples | 4.4 |
Communication Services | 4.1 |
Utilities | 1.7 |
Materials | 1.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Sphere Entertainment Co. | 0.9% |
Opendoor Technologies, Inc. | 0.8 |
Rocket Lab USA, Inc. | 0.7 |
Bridgebio Pharma, Inc. | 0.7 |
CNX Resources Corp. | 0.7 |
Cars.com, Inc. | 0.7 |
Northern Oil and Gas, Inc. | 0.7 |
Tidewater, Inc. | 0.7 |
Modine Manufacturing Co. | 0.7 |
Federal Agricultural Mortgage Corp., Class C | 0.7 |
Total | 7.3% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Style Funds
Understanding Your Fund Expenses
July 31, 2023 (Unaudited)
As a shareholder of First Trust Large Cap Core AlphaDEX® Fund, First Trust Mid Cap Core AlphaDEX® Fund, First Trust Small Cap Core AlphaDEX® Fund, First Trust Large Cap Value AlphaDEX® Fund, First Trust Large Cap Growth AlphaDEX® Fund, First Trust Multi Cap Value AlphaDEX® Fund, First Trust Multi Cap Growth AlphaDEX® Fund, First Trust Mid Cap Value AlphaDEX® Fund, First Trust Mid Cap Growth AlphaDEX® Fund, First Trust Small Cap Value AlphaDEX® Fund or First Trust Small Cap Growth AlphaDEX® Fund (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Large Cap Core AlphaDEX® Fund (FEX) | ||||
Actual | $1,000.00 | $1,035.50 | 0.60% | $3.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | 0.60% | $3.01 |
First Trust Mid Cap Core AlphaDEX® Fund (FNX) | ||||
Actual | $1,000.00 | $1,050.40 | 0.60% | $3.05 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | 0.60% | $3.01 |
First Trust Small Cap Core AlphaDEX® Fund (FYX) | ||||
Actual | $1,000.00 | $1,026.00 | 0.60% | $3.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | 0.60% | $3.01 |
First Trust Large Cap Value AlphaDEX® Fund (FTA) | ||||
Actual | $1,000.00 | $991.50 | 0.59% | $2.91 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.87 | 0.59% | $2.96 |
First Trust Large Cap Growth AlphaDEX® Fund (FTC) | ||||
Actual | $1,000.00 | $1,097.00 | 0.60% | $3.12 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | 0.60% | $3.01 |
First Trust Multi Cap Value AlphaDEX® Fund (FAB) | ||||
Actual | $1,000.00 | $1,002.20 | 0.63% | $3.13 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.67 | 0.63% | $3.16 |
Style Funds
Understanding Your Fund Expenses (Continued)
July 31, 2023 (Unaudited)
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) | ||||
Actual | $1,000.00 | $1,088.60 | 0.64% | $3.31 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | 0.64% | $3.21 |
First Trust Mid Cap Value AlphaDEX® Fund (FNK) | ||||
Actual | $1,000.00 | $1,018.80 | 0.70% | $3.50 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) | ||||
Actual | $1,000.00 | $1,093.60 | 0.70% | $3.63 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
First Trust Small Cap Value AlphaDEX® Fund (FYT) | ||||
Actual | $1,000.00 | $1,002.10 | 0.70% | $3.47 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
First Trust Small Cap Growth AlphaDEX® Fund (FYC) | ||||
Actual | $1,000.00 | $1,060.60 | 0.70% | $3.58 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
(a) | These expense ratios reflect expense caps for certain Funds. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Aerospace & Defense — 3.1% | |||||
10,320 | Axon Enterprise, Inc. (a) | $1,918,798 | |||
19,072 | Boeing (The) Co. (a) | 4,555,347 | |||
14,038 | General Dynamics Corp. | 3,138,616 | |||
17,070 | HEICO Corp. | 3,003,979 | |||
101,576 | Howmet Aerospace, Inc. | 5,194,597 | |||
10,286 | L3Harris Technologies, Inc. | 1,949,094 | |||
2,187 | Lockheed Martin Corp. | 976,211 | |||
8,836 | Northrop Grumman Corp. | 3,932,020 | |||
20,556 | RTX Corp. | 1,807,489 | |||
59,550 | Textron, Inc. | 4,631,203 | |||
5,630 | TransDigm Group, Inc. | 5,065,424 | |||
36,172,778 | |||||
Air Freight & Logistics — 0.7% | |||||
33,247 | Expeditors International of Washington, Inc. | 4,232,343 | |||
16,246 | FedEx Corp. | 4,385,608 | |||
8,617,951 | |||||
Automobile Components — 0.1% | |||||
9,863 | Aptiv PLC (a) | 1,079,900 | |||
Automobiles — 1.3% | |||||
266,180 | Ford Motor Co. | 3,516,238 | |||
130,553 | General Motors Co. | 5,009,318 | |||
60,434 | Rivian Automotive, Inc., Class A (a) | 1,670,396 | |||
19,230 | Tesla, Inc. (a) | 5,142,679 | |||
15,338,631 | |||||
Banks — 5.4% | |||||
140,373 | Bank of America Corp. | 4,491,936 | |||
109,342 | Citigroup, Inc. | 5,211,240 | |||
193,027 | Citizens Financial Group, Inc. | 6,227,051 | |||
153,655 | Fifth Third Bancorp | 4,471,360 | |||
466,989 | Huntington Bancshares, Inc. | 5,715,945 | |||
20,768 | JPMorgan Chase & Co. | 3,280,513 | |||
544,820 | KeyCorp | 6,706,734 | |||
32,541 | M&T Bank Corp. | 4,551,184 | |||
31,975 | PNC Financial Services Group (The), Inc. | 4,377,058 | |||
225,999 | Regions Financial Corp. | 4,603,600 | |||
165,870 | Truist Financial Corp. | 5,510,201 | |||
121,892 | U.S. Bancorp | 4,836,675 | |||
94,360 | Wells Fargo & Co. | 4,355,658 | |||
64,339,155 | |||||
Beverages — 0.4% | |||||
32,197 | Keurig Dr Pepper, Inc. | 1,095,020 | |||
35,057 | Monster Beverage Corp. (a) | 2,015,427 | |||
5,436 | PepsiCo, Inc. | 1,019,032 | |||
4,129,479 |
Shares | Description | Value | |||
Biotechnology — 0.7% | |||||
17,673 | Biogen, Inc. (a) | $4,775,068 | |||
8,584 | Vertex Pharmaceuticals, Inc. (a) | 3,024,486 | |||
7,799,554 | |||||
Building Products — 1.1% | |||||
15,699 | Carlisle Cos., Inc. | 4,351,763 | |||
60,762 | Carrier Global Corp. | 3,618,377 | |||
14,776 | Johnson Controls International PLC | 1,027,671 | |||
21,057 | Trane Technologies PLC | 4,199,608 | |||
13,197,419 | |||||
Capital Markets — 4.3% | |||||
9,093 | Ameriprise Financial, Inc. | 3,168,456 | |||
31,349 | Ares Management Corp., Class A | 3,110,448 | |||
90,460 | Bank of New York Mellon (The) Corp. | 4,103,266 | |||
1,456 | BlackRock, Inc. | 1,075,766 | |||
94,538 | Carlyle Group (The), Inc. | 3,370,280 | |||
17,764 | Charles Schwab (The) Corp. | 1,174,200 | |||
5,433 | CME Group, Inc. | 1,080,950 | |||
150,779 | Franklin Resources, Inc. | 4,408,778 | |||
12,486 | Goldman Sachs Group (The), Inc. | 4,443,393 | |||
17,979 | KKR & Co., Inc. | 1,067,593 | |||
13,891 | LPL Financial Holdings, Inc. | 3,186,040 | |||
5,791 | Moody’s Corp. | 2,042,775 | |||
35,369 | Morgan Stanley | 3,238,386 | |||
29,108 | Raymond James Financial, Inc. | 3,203,917 | |||
10,046 | S&P Global, Inc. | 3,963,247 | |||
55,033 | State Street Corp. | 3,986,590 | |||
35,951 | T. Rowe Price Group, Inc. | 4,431,320 | |||
51,055,405 | |||||
Chemicals — 4.0% | |||||
6,723 | Air Products and Chemicals, Inc. | 2,052,734 | |||
9,026 | Albemarle Corp. | 1,916,039 | |||
43,472 | Celanese Corp. | 5,450,954 | |||
14,504 | CF Industries Holdings, Inc. | 1,190,488 | |||
35,142 | Corteva, Inc. | 1,983,063 | |||
94,520 | Dow, Inc. | 5,337,544 | |||
70,466 | DuPont de Nemours, Inc. | 5,470,276 | |||
21,572 | Ecolab, Inc. | 3,950,696 | |||
19,298 | FMC Corp. | 1,857,047 | |||
54,821 | LyondellBasell Industries N.V., Class A | 5,419,604 | |||
143,833 | Mosaic (The) Co. | 5,862,633 | |||
6,789 | PPG Industries, Inc. | 976,937 | |||
42,137 | Westlake Corp. | 5,793,838 | |||
47,261,853 | |||||
Commercial Services & Supplies — 1.3% | |||||
6,077 | Cintas Corp. | 3,050,897 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Commercial Services & Supplies (Continued) | |||||
44,155 | Copart, Inc. (a) | $3,902,860 | |||
26,293 | Republic Services, Inc. | 3,973,135 | |||
70,523 | Rollins, Inc. | 2,879,454 | |||
11,611 | Waste Management, Inc. | 1,901,766 | |||
15,708,112 | |||||
Communications Equipment — 0.8% | |||||
24,851 | Arista Networks, Inc. (a) | 3,854,142 | |||
58,378 | Cisco Systems, Inc. | 3,037,991 | |||
10,299 | Motorola Solutions, Inc. | 2,952,002 | |||
9,844,135 | |||||
Construction & Engineering — 0.4% | |||||
25,626 | Quanta Services, Inc. | 5,166,714 | |||
Construction Materials — 0.1% | |||||
2,180 | Martin Marietta Materials, Inc. | 973,283 | |||
Consumer Finance — 1.3% | |||||
5,780 | American Express Co. | 976,126 | |||
46,028 | Capital One Financial Corp. | 5,386,197 | |||
34,466 | Discover Financial Services | 3,637,886 | |||
148,412 | Synchrony Financial | 5,126,151 | |||
15,126,360 | |||||
Consumer Staples Distribution & Retail — 1.1% | |||||
11,860 | Dollar General Corp. | 2,002,680 | |||
14,033 | Dollar Tree, Inc. (a) | 2,165,713 | |||
85,687 | Kroger (The) Co. | 4,167,816 | |||
13,569 | Sysco Corp. | 1,035,450 | |||
15,267 | Target Corp. | 2,083,487 | |||
6,406 | Walmart, Inc. | 1,024,063 | |||
12,479,209 | |||||
Containers & Packaging — 1.2% | |||||
11,721 | Avery Dennison Corp. | 2,156,781 | |||
158,256 | International Paper Co. | 5,706,711 | |||
38,091 | Packaging Corp. of America | 5,841,255 | |||
13,704,747 | |||||
Distributors — 0.6% | |||||
17,849 | Genuine Parts Co. | 2,779,446 | |||
69,115 | LKQ Corp. | 3,786,811 | |||
2,688 | Pool Corp. | 1,034,181 | |||
7,600,438 | |||||
Diversified Telecommunication Services — 0.5% | |||||
126,248 | AT&T, Inc. | 1,833,121 | |||
135,362 | Verizon Communications, Inc. | 4,613,137 | |||
6,446,258 |
Shares | Description | Value | |||
Electric Utilities — 4.1% | |||||
57,555 | Alliant Energy Corp. | $3,093,006 | |||
35,873 | American Electric Power Co., Inc. | 3,039,878 | |||
54,989 | Constellation Energy Corp. | 5,314,687 | |||
33,658 | Duke Energy Corp. | 3,151,062 | |||
43,491 | Edison International | 3,129,612 | |||
41,361 | Entergy Corp. | 4,247,775 | |||
68,937 | Evergy, Inc. | 4,134,152 | |||
56,787 | Eversource Energy | 4,107,404 | |||
98,853 | Exelon Corp. | 4,137,987 | |||
25,895 | FirstEnergy Corp. | 1,020,004 | |||
174,796 | PG&E Corp. (a) | 3,078,157 | |||
152,204 | PPL Corp. | 4,190,176 | |||
28,663 | Southern (The) Co. | 2,073,481 | |||
64,779 | Xcel Energy, Inc. | 4,063,587 | |||
48,780,968 | |||||
Electrical Equipment — 1.3% | |||||
18,659 | AMETEK, Inc. | 2,959,318 | |||
20,027 | Eaton Corp. PLC | 4,111,944 | |||
22,278 | Emerson Electric Co. | 2,035,095 | |||
15,183 | Hubbell, Inc. | 4,737,096 | |||
3,056 | Rockwell Automation, Inc. | 1,027,702 | |||
14,871,155 | |||||
Electronic Equipment, Instruments & Components — 1.0% | |||||
35,556 | Amphenol Corp., Class A | 3,139,950 | |||
5,486 | CDW Corp. | 1,026,266 | |||
57,468 | Corning, Inc. | 1,950,464 | |||
6,012 | Keysight Technologies, Inc. (a) | 968,413 | |||
21,551 | TE Connectivity Ltd. | 3,092,353 | |||
38,037 | Trimble, Inc. (a) | 2,046,391 | |||
12,223,837 | |||||
Energy Equipment & Services — 0.4% | |||||
61,038 | Halliburton Co. | 2,385,365 | |||
40,995 | Schlumberger Ltd. | 2,391,648 | |||
4,777,013 | |||||
Entertainment — 0.9% | |||||
13,604 | Liberty Media Corp.-Liberty Formula One, Class C (a) | 987,650 | |||
55,254 | Live Nation Entertainment, Inc. (a) | 4,848,539 | |||
4,572 | Netflix, Inc. (a) | 2,006,971 | |||
24,984 | ROBLOX Corp., Class A (a) | 980,622 | |||
22,554 | Walt Disney (The) Co. (a) | 2,004,825 | |||
10,828,607 | |||||
Financial Services — 2.0% | |||||
65,541 | Apollo Global Management, Inc. | 5,355,355 | |||
285,059 | Corebridge Financial, Inc. | 5,333,454 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Financial Services (Continued) | |||||
31,924 | Fiserv, Inc. (a) | $4,029,128 | |||
4,010 | FleetCor Technologies, Inc. (a) | 998,129 | |||
20,440 | Global Payments, Inc. | 2,253,510 | |||
5,120 | Mastercard, Inc., Class A | 2,018,713 | |||
15,089 | PayPal Holdings, Inc. (a) | 1,144,048 | |||
8,479 | Visa, Inc., Class A | 2,015,713 | |||
23,148,050 | |||||
Food Products — 3.3% | |||||
66,625 | Archer-Daniels-Midland Co. | 5,660,460 | |||
53,356 | Bunge Ltd. | 5,798,196 | |||
66,080 | Campbell Soup Co. | 3,027,786 | |||
89,576 | Conagra Brands, Inc. | 2,938,989 | |||
26,253 | General Mills, Inc. | 1,962,149 | |||
4,032 | Hershey (The) Co. | 932,642 | |||
50,065 | Hormel Foods Corp. | 2,046,657 | |||
14,937 | Kellogg Co. | 999,136 | |||
113,445 | Kraft Heinz (The) Co. | 4,104,440 | |||
43,794 | Lamb Weston Holdings, Inc. | 4,538,372 | |||
11,542 | McCormick & Co., Inc. | 1,032,778 | |||
13,804 | Mondelez International, Inc., Class A | 1,023,291 | |||
98,631 | Tyson Foods, Inc., Class A | 5,495,719 | |||
39,560,615 | |||||
Gas Utilities — 0.3% | |||||
25,962 | Atmos Energy Corp. | 3,159,835 | |||
Ground Transportation — 2.1% | |||||
118,102 | CSX Corp. | 3,935,159 | |||
22,247 | J.B. Hunt Transport Services, Inc. | 4,537,053 | |||
4,440 | Norfolk Southern Corp. | 1,037,140 | |||
10,892 | Old Dominion Freight Line, Inc. | 4,569,085 | |||
116,612 | Uber Technologies, Inc. (a) | 5,767,629 | |||
91,001 | U-Haul Holding Co. | 5,538,321 | |||
25,384,387 | |||||
Health Care Equipment & Supplies — 2.0% | |||||
3,814 | Becton, Dickinson & Co. | 1,062,657 | |||
37,228 | Boston Scientific Corp. (a) | 1,930,272 | |||
31,339 | Dexcom, Inc. (a) | 3,903,586 | |||
10,674 | Edwards Lifesciences Corp. (a) | 876,015 | |||
24,869 | Hologic, Inc. (a) | 1,975,096 | |||
2,004 | IDEXX Laboratories, Inc. (a) | 1,111,679 | |||
3,492 | Insulet Corp. (a) | 966,411 | |||
11,778 | Intuitive Surgical, Inc. (a) | 3,820,783 | |||
22,857 | Medtronic PLC | 2,005,930 | |||
4,608 | ResMed, Inc. | 1,024,589 |
Shares | Description | Value | |||
Health Care Equipment & Supplies (Continued) | |||||
9,901 | Stryker Corp. | $2,806,042 | |||
13,830 | Zimmer Biomet Holdings, Inc. | 1,910,615 | |||
23,393,675 | |||||
Health Care Providers & Services — 3.0% | |||||
53,231 | Cardinal Health, Inc. | 4,869,040 | |||
44,781 | Centene Corp. (a) | 3,049,138 | |||
17,940 | Cigna Group (The) | 5,294,094 | |||
43,693 | CVS Health Corp. | 3,263,430 | |||
6,798 | Elevance Health, Inc. | 3,206,141 | |||
16,588 | HCA Healthcare, Inc. | 4,525,372 | |||
4,504 | Humana, Inc. | 2,057,562 | |||
16,688 | Laboratory Corp. of America Holdings | 3,570,064 | |||
3,342 | Molina Healthcare, Inc. (a) | 1,017,606 | |||
21,490 | Quest Diagnostics, Inc. | 2,905,663 | |||
4,190 | UnitedHealth Group, Inc. | 2,121,690 | |||
35,879,800 | |||||
Health Care REITs — 0.4% | |||||
42,599 | Ventas, Inc. | 2,066,904 | |||
24,894 | Welltower, Inc. | 2,045,042 | |||
4,111,946 | |||||
Health Care Technology — 0.1% | |||||
5,092 | Veeva Systems, Inc., Class A (a) | 1,039,888 | |||
Hotel & Resort REITs — 0.3% | |||||
179,470 | Host Hotels & Resorts, Inc. | 3,302,248 | |||
Hotels, Restaurants & Leisure — 4.0% | |||||
31,424 | Airbnb, Inc., Class A (a) | 4,782,419 | |||
1,492 | Booking Holdings, Inc. (a) | 4,432,434 | |||
2,354 | Chipotle Mexican Grill, Inc. (a) | 4,619,207 | |||
30,131 | Darden Restaurants, Inc. | 5,089,728 | |||
27,669 | Hilton Worldwide Holdings, Inc. | 4,302,253 | |||
69,437 | Las Vegas Sands Corp. (a) | 4,153,027 | |||
27,406 | Marriott International, Inc., Class A | 5,530,805 | |||
3,374 | McDonald’s Corp. | 989,257 | |||
114,621 | MGM Resorts International | 5,819,308 | |||
48,527 | Royal Caribbean Cruises Ltd. (a) | 5,294,781 | |||
10,164 | Starbucks Corp. | 1,032,357 | |||
7,267 | Yum! Brands, Inc. | 1,000,448 | |||
47,046,024 | |||||
Household Durables — 2.0% | |||||
41,369 | D.R. Horton, Inc. | 5,254,690 | |||
28,962 | Garmin Ltd. | 3,066,786 | |||
40,174 | Lennar Corp., Class A | 5,095,269 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Household Durables (Continued) | |||||
793 | NVR, Inc. (a) | $5,001,007 | |||
64,806 | PulteGroup, Inc. | 5,468,978 | |||
23,886,730 | |||||
Household Products — 0.2% | |||||
7,292 | Kimberly-Clark Corp. | 941,397 | |||
6,636 | Procter & Gamble (The) Co. | 1,037,207 | |||
1,978,604 | |||||
Industrial Conglomerates — 0.7% | |||||
50,295 | 3M Co. | 5,607,893 | |||
18,331 | General Electric Co. | 2,094,133 | |||
4,852 | Honeywell International, Inc. | 941,919 | |||
8,643,945 | |||||
Insurance — 3.2% | |||||
43,273 | Aflac, Inc. | 3,130,369 | |||
87,489 | American International Group, Inc. | 5,273,837 | |||
5,834 | Aon PLC, Class A | 1,858,129 | |||
40,354 | Arch Capital Group Ltd. (a) | 3,135,102 | |||
9,171 | Arthur J. Gallagher & Co. | 1,969,931 | |||
14,625 | Brown & Brown, Inc. | 1,030,331 | |||
15,685 | Chubb Ltd. | 3,206,171 | |||
2,945 | Everest Group Ltd. | 1,061,702 | |||
55,919 | Hartford Financial Services Group (The), Inc. | 4,019,458 | |||
50,866 | Loews Corp. | 3,186,755 | |||
10,706 | Marsh & McLennan Cos., Inc. | 2,017,224 | |||
17,810 | MetLife, Inc. | 1,121,496 | |||
53,103 | Principal Financial Group, Inc. | 4,241,336 | |||
17,393 | Travelers (The) Cos., Inc. | 3,002,206 | |||
38,254,047 | |||||
Interactive Media & Services — 0.4% | |||||
16,822 | Alphabet, Inc., Class A (a) | 2,232,616 | |||
3,508 | Meta Platforms, Inc., Class A (a) | 1,117,649 | |||
36,825 | Pinterest, Inc., Class A (a) | 1,067,556 | |||
4,417,821 | |||||
IT Services — 2.4% | |||||
3,263 | Accenture PLC, Class A | 1,032,250 | |||
33,608 | Akamai Technologies, Inc. (a) | 3,175,956 | |||
61,607 | Cloudflare, Inc., Class A (a) | 4,236,713 | |||
77,117 | Cognizant Technology Solutions Corp., Class A | 5,092,036 | |||
8,622 | Gartner, Inc. (a) | 3,048,653 | |||
13,401 | GoDaddy, Inc., Class A (a) | 1,033,083 | |||
12,248 | MongoDB, Inc. (a) | 5,185,803 |
Shares | Description | Value | |||
IT Services (Continued) | |||||
22,885 | Snowflake, Inc., Class A (a) | $4,066,893 | |||
8,911 | VeriSign, Inc. (a) | 1,879,776 | |||
28,751,163 | |||||
Life Sciences Tools & Services — 0.9% | |||||
14,366 | Charles River Laboratories International, Inc. (a) | 3,010,252 | |||
8,958 | IQVIA Holdings, Inc. (a) | 2,004,442 | |||
42,378 | Revvity, Inc. | 5,210,375 | |||
2,633 | West Pharmaceutical Services, Inc. | 969,049 | |||
11,194,118 | |||||
Machinery — 3.7% | |||||
16,369 | Caterpillar, Inc. | 4,340,568 | |||
16,427 | Cummins, Inc. | 4,284,161 | |||
7,455 | Deere & Co. | 3,202,668 | |||
20,458 | Dover Corp. | 2,986,254 | |||
13,465 | Fortive Corp. | 1,054,983 | |||
8,050 | Illinois Tool Works, Inc. | 2,119,726 | |||
77,021 | Ingersoll Rand, Inc. | 5,027,161 | |||
8,113 | Nordson Corp. | 2,041,312 | |||
22,623 | Otis Worldwide Corp. | 2,057,788 | |||
48,144 | PACCAR, Inc. | 4,146,643 | |||
2,582 | Parker-Hannifin Corp. | 1,058,646 | |||
13,975 | Snap-on, Inc. | 3,807,349 | |||
32,232 | Stanley Black & Decker, Inc. | 3,199,670 | |||
18,361 | Westinghouse Air Brake Technologies Corp. | 2,174,677 | |||
17,880 | Xylem, Inc. | 2,015,970 | |||
43,517,576 | |||||
Media — 1.2% | |||||
5,481 | Charter Communications, Inc., Class A (a) | 2,220,846 | |||
72,695 | Comcast Corp., Class A | 3,290,176 | |||
148,063 | Fox Corp., Class A | 4,952,707 | |||
52,194 | Interpublic Group of (The) Cos., Inc. | 1,786,601 | |||
21,163 | Omnicom Group, Inc. | 1,790,813 | |||
14,041,143 | |||||
Metals & Mining — 1.4% | |||||
25,170 | Freeport-McMoRan, Inc. | 1,123,840 | |||
47,202 | Newmont Corp. | 2,025,910 | |||
24,560 | Nucor Corp. | 4,226,530 | |||
18,537 | Reliance Steel & Aluminum Co. | 5,428,746 | |||
36,972 | Steel Dynamics, Inc. | 3,940,476 | |||
16,745,502 | |||||
Multi-Utilities — 2.8% | |||||
49,313 | Ameren Corp. | 4,224,645 | |||
103,619 | CenterPoint Energy, Inc. | 3,117,896 | |||
51,412 | CMS Energy Corp. | 3,139,731 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Multi-Utilities (Continued) | |||||
55,687 | Consolidated Edison, Inc. | $5,282,469 | |||
58,322 | Dominion Energy, Inc. | 3,123,143 | |||
27,454 | DTE Energy Co. | 3,137,992 | |||
64,324 | Public Service Enterprise Group, Inc. | 4,060,131 | |||
27,662 | Sempra | 4,122,191 | |||
34,231 | WEC Energy Group, Inc. | 3,075,997 | |||
33,284,195 | |||||
Office REITs — 0.4% | |||||
35,485 | Alexandria Real Estate Equities, Inc. | 4,459,755 | |||
Oil, Gas & Consumable Fuels — 5.0% | |||||
29,465 | APA Corp. | 1,193,038 | |||
19,824 | Cheniere Energy, Inc. | 3,208,713 | |||
12,797 | Chevron Corp. | 2,094,357 | |||
29,153 | ConocoPhillips | 3,431,891 | |||
119,387 | Coterra Energy, Inc. | 3,287,918 | |||
7,664 | Diamondback Energy, Inc. | 1,129,061 | |||
8,798 | EOG Resources, Inc. | 1,165,999 | |||
28,163 | Exxon Mobil Corp. | 3,020,200 | |||
22,217 | Hess Corp. | 3,370,985 | |||
58,469 | Kinder Morgan, Inc. | 1,035,486 | |||
218,686 | Marathon Oil Corp. | 5,744,881 | |||
43,175 | Marathon Petroleum Corp. | 5,743,139 | |||
17,122 | Occidental Petroleum Corp. | 1,080,912 | |||
16,312 | ONEOK, Inc. | 1,093,556 | |||
132,234 | Ovintiv, Inc. | 6,094,665 | |||
52,779 | Phillips 66 | 5,887,497 | |||
4,859 | Pioneer Natural Resources Co. | 1,096,531 | |||
39,691 | Targa Resources Corp. | 3,254,265 | |||
42,917 | Valero Energy Corp. | 5,532,430 | |||
30,855 | Williams (The) Cos., Inc. | 1,062,955 | |||
59,528,479 | |||||
Passenger Airlines — 0.9% | |||||
105,893 | Delta Air Lines, Inc. | 4,898,610 | |||
55,610 | Southwest Airlines Co. | 1,899,638 | |||
73,398 | United Airlines Holdings, Inc. (a) | 3,986,245 | |||
10,784,493 | |||||
Pharmaceuticals — 0.7% | |||||
4,294 | Eli Lilly & Co. | 1,951,838 | |||
8,725 | Merck & Co., Inc. | 930,521 | |||
504,422 | Viatris, Inc. | 5,311,564 | |||
8,193,923 | |||||
Professional Services — 1.5% | |||||
6,080 | Broadridge Financial Solutions, Inc. | 1,020,953 | |||
8,558 | Equifax, Inc. | 1,746,517 |
Shares | Description | Value | |||
Professional Services (Continued) | |||||
25,406 | Jacobs Solutions, Inc. | $3,186,166 | |||
34,137 | Leidos Holdings, Inc. | 3,192,834 | |||
6,268 | Paycom Software, Inc. | 2,311,388 | |||
49,843 | SS&C Technologies Holdings, Inc. | 2,903,355 | |||
12,854 | TransUnion | 1,024,335 | |||
8,909 | Verisk Analytics, Inc. | 2,039,626 | |||
17,425,174 | |||||
Real Estate Management & Development — 0.4% | |||||
24,949 | CBRE Group, Inc., Class A (a) | 2,078,501 | |||
33,939 | CoStar Group, Inc. (a) | 2,849,858 | |||
4,928,359 | |||||
Residential REITs — 0.9% | |||||
15,958 | AvalonBay Communities, Inc. | 3,010,477 | |||
30,523 | Equity Residential | 2,012,687 | |||
8,595 | Essex Property Trust, Inc. | 2,093,312 | |||
58,537 | Invitation Homes, Inc. | 2,078,063 | |||
23,437 | UDR, Inc. | 958,105 | |||
10,152,644 | |||||
Retail REITs — 0.2% | |||||
102,112 | Kimco Realty Corp. | 2,068,789 | |||
Semiconductors & Semiconductor Equipment — 5.4% | |||||
15,505 | Analog Devices, Inc. | 3,093,713 | |||
34,829 | Applied Materials, Inc. | 5,279,728 | |||
5,803 | Broadcom, Inc. | 5,214,866 | |||
10,593 | First Solar, Inc. (a) | 2,196,988 | |||
60,217 | Intel Corp. | 2,153,962 | |||
10,378 | KLA Corp. | 5,333,773 | |||
7,831 | Lam Research Corp. | 5,626,495 | |||
44,952 | Microchip Technology, Inc. | 4,222,791 | |||
15,954 | Micron Technology, Inc. | 1,138,956 | |||
7,456 | Monolithic Power Systems, Inc. | 4,171,557 | |||
7,140 | NVIDIA Corp. | 3,336,451 | |||
19,676 | NXP Semiconductors N.V. | 4,387,355 | |||
53,226 | ON Semiconductor Corp. (a) | 5,735,102 | |||
33,832 | QUALCOMM, Inc. | 4,471,575 | |||
45,479 | Skyworks Solutions, Inc. | 5,201,433 | |||
18,088 | Teradyne, Inc. | 2,042,859 | |||
63,607,604 | |||||
Software — 7.0% | |||||
8,236 | Adobe, Inc. (a) | 4,498,256 | |||
6,098 | ANSYS, Inc. (a) | 2,086,126 | |||
4,920 | Autodesk, Inc. (a) | 1,042,991 | |||
25,849 | BILL Holdings, Inc. (a) | 3,239,914 | |||
17,173 | Cadence Design Systems, Inc. (a) | 4,018,654 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
13,710 | Crowdstrike Holdings, Inc., Class A (a) | $2,216,359 | |||
40,937 | Datadog, Inc., Class A (a) | 4,778,167 | |||
4,977 | Fair Isaac Corp. (a) | 4,170,577 | |||
66,599 | Fortinet, Inc. (a) | 5,176,074 | |||
9,461 | HubSpot, Inc. (a) | 5,492,583 | |||
2,197 | Intuit, Inc. | 1,124,205 | |||
8,870 | Microsoft Corp. | 2,979,610 | |||
42,272 | Oracle Corp. | 4,955,547 | |||
328,384 | Palantir Technologies, Inc., Class A (a) | 6,515,138 | |||
19,702 | Palo Alto Networks, Inc. (a) | 4,924,712 | |||
14,150 | PTC, Inc. (a) | 2,063,211 | |||
2,095 | Roper Technologies, Inc. | 1,032,940 | |||
7,167 | ServiceNow, Inc. (a) | 4,178,361 | |||
37,962 | Splunk, Inc. (a) | 4,112,423 | |||
9,249 | Synopsys, Inc. (a) | 4,178,698 | |||
7,253 | Tyler Technologies, Inc. (a) | 2,876,757 | |||
17,828 | Workday, Inc., Class A (a) | 4,227,554 | |||
20,645 | Zscaler, Inc. (a) | 3,311,045 | |||
83,199,902 | |||||
Specialized REITs — 0.9% | |||||
8,842 | Digital Realty Trust, Inc. | 1,101,890 | |||
2,569 | Equinix, Inc. | 2,080,684 | |||
53,159 | Iron Mountain, Inc. | 3,263,963 | |||
32,035 | VICI Properties, Inc. | 1,008,462 | |||
90,137 | Weyerhaeuser Co. | 3,070,066 | |||
10,525,065 | |||||
Specialty Retail — 1.7% | |||||
808 | AutoZone, Inc. (a) | 2,005,230 | |||
36,858 | Best Buy Co., Inc. | 3,061,057 | |||
3,241 | Home Depot (The), Inc. | 1,081,975 | |||
4,461 | Lowe’s Cos., Inc. | 1,045,078 | |||
4,216 | O’Reilly Automotive, Inc. (a) | 3,903,131 | |||
17,959 | Ross Stores, Inc. | 2,058,820 | |||
35,623 | TJX (The) Cos., Inc. | 3,082,458 | |||
9,108 | Tractor Supply Co. | 2,040,101 | |||
4,279 | Ulta Beauty, Inc. (a) | 1,903,299 | |||
20,181,149 | |||||
Technology Hardware, Storage & Peripherals — 1.1% | |||||
15,572 | Apple, Inc. | 3,059,120 | |||
299,651 | Hewlett Packard Enterprise Co. | 5,207,934 | |||
32,785 | HP, Inc. | 1,076,332 | |||
39,535 | NetApp, Inc. | 3,084,125 | |||
12,427,511 | |||||
Trading Companies & Distributors — 1.1% | |||||
51,203 | Fastenal Co. | 3,001,008 |
Shares | Description | Value | |||
Trading Companies & Distributors (Continued) | |||||
11,303 | United Rentals, Inc. | $5,252,278 | |||
6,384 | W.W. Grainger, Inc. | 4,714,520 | |||
12,967,806 | |||||
Wireless Telecommunication Services — 0.2% | |||||
14,497 | T-Mobile US, Inc. (a) | 1,997,252 | |||
Total Common Stocks | 1,180,712,178 | ||||
(Cost $1,016,297,658) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
1,315,419 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 1,315,419 | |||
(Cost $1,315,419) | |||||
Total Investments — 100.0% | 1,182,027,597 | ||||
(Cost $1,017,613,077) | |||||
Net Other Assets and Liabilities — (0.0)% | (84,432 ) | ||||
Net Assets — 100.0% | $1,181,943,165 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,180,712,178 | $1,180,712,178 | $— | $— |
Money Market Funds | 1,315,419 | 1,315,419 | — | — |
Total Investments | $1,182,027,597 | $1,182,027,597 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Aerospace & Defense — 1.3% | |||||
31,943 | BWX Technologies, Inc. | $2,204,067 | |||
8,297 | Curtiss-Wright Corp. | 1,587,714 | |||
30,071 | Hexcel Corp. | 2,125,418 | |||
10,045 | Huntington Ingalls Industries, Inc. | 2,307,035 | |||
175,788 | Leonardo DRS, Inc. (a) | 2,933,902 | |||
15,829 | Parsons Corp. (a) | 782,269 | |||
52,212 | Spirit AeroSystems Holdings, Inc., Class A | 1,661,386 | |||
13,601,791 | |||||
Air Freight & Logistics — 0.2% | |||||
16,155 | C.H. Robinson Worldwide, Inc. | 1,618,408 | |||
12,129 | GXO Logistics, Inc. (a) | 813,492 | |||
2,431,900 | |||||
Automobile Components — 1.3% | |||||
39,772 | Adient PLC (a) | 1,692,696 | |||
77,902 | BorgWarner, Inc. | 3,622,443 | |||
14,044 | Fox Factory Holding Corp. (a) | 1,571,523 | |||
78,131 | Gentex Corp. | 2,623,639 | |||
15,926 | Lear Corp. | 2,464,708 | |||
15,920 | Visteon Corp. (a) | 2,453,113 | |||
14,428,122 | |||||
Automobiles — 0.5% | |||||
21,643 | Harley-Davidson, Inc. | 835,636 | |||
36,814 | Thor Industries, Inc. | 4,251,649 | |||
5,087,285 | |||||
Banks — 9.3% | |||||
75,899 | Bank OZK | 3,319,063 | |||
37,735 | BOK Financial Corp. | 3,361,434 | |||
155,202 | Cadence Bank | 3,887,810 | |||
71,959 | Comerica, Inc. | 3,882,908 | |||
7,087 | Cullen/Frost Bankers, Inc. | 769,506 | |||
57,740 | East West Bancorp, Inc. | 3,592,005 | |||
266,447 | F.N.B. Corp. | 3,407,857 | |||
2,969 | First Citizens BancShares, Inc., Class A | 4,249,530 | |||
169,248 | First Hawaiian, Inc. | 3,501,741 | |||
127,860 | First Interstate BancSystem, Inc., Class A | 3,673,418 | |||
73,343 | Glacier Bancorp, Inc. | 2,398,316 | |||
99,275 | Hancock Whitney Corp. | 4,369,093 | |||
66,846 | Home BancShares, Inc. | 1,625,026 | |||
68,482 | Independent Bank Corp. | 4,126,040 | |||
338,985 | New York Community Bancorp, Inc. | 4,701,722 | |||
218,661 | Old National Bancorp | 3,723,797 | |||
53,808 | Pinnacle Financial Partners, Inc. | 4,084,027 | |||
50,367 | Popular, Inc. | 3,654,126 |
Shares | Description | Value | |||
Banks (Continued) | |||||
40,477 | Prosperity Bancshares, Inc. | $2,563,004 | |||
34,744 | SouthState Corp. | 2,698,566 | |||
100,765 | Synovus Financial Corp. | 3,415,933 | |||
50,051 | UMB Financial Corp. | 3,553,621 | |||
77,052 | United Bankshares, Inc. | 2,576,619 | |||
91,482 | United Community Banks, Inc. | 2,659,382 | |||
393,310 | Valley National Bancorp | 4,035,361 | |||
80,747 | Webster Financial Corp. | 3,820,948 | |||
104,475 | Western Alliance Bancorp (b) | 5,427,476 | |||
41,974 | Wintrust Financial Corp. | 3,540,927 | |||
113,483 | Zions Bancorp N.A. (b) | 4,340,725 | |||
100,959,981 | |||||
Beverages — 0.6% | |||||
25,540 | Celsius Holdings, Inc. (a) | 3,695,638 | |||
3,594 | Coca-Cola Consolidated, Inc. | 2,276,475 | |||
11,575 | Molson Coors Beverage Co., Class B | 807,588 | |||
6,779,701 | |||||
Biotechnology — 1.1% | |||||
24,346 | Alkermes PLC (a) | 712,851 | |||
60,670 | Amicus Therapeutics, Inc. (a) | 826,325 | |||
41,825 | Apellis Pharmaceuticals, Inc. (a) | 1,076,994 | |||
40,576 | Exact Sciences Corp. (a) | 3,957,783 | |||
18,687 | Intellia Therapeutics, Inc. (a) | 791,021 | |||
3,515 | Karuna Therapeutics, Inc. (a) | 702,192 | |||
15,661 | Natera, Inc. (a) | 708,190 | |||
226,797 | Roivant Sciences Ltd. (a) | 2,717,028 | |||
11,492,384 | |||||
Broadline Retail — 1.0% | |||||
7,006 | Dillard’s, Inc., Class A | 2,403,338 | |||
132,241 | Kohl’s Corp. | 3,762,257 | |||
237,395 | Macy’s, Inc. | 3,938,383 | |||
13,156 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 958,809 | |||
11,062,787 | |||||
Building Products — 3.2% | |||||
24,112 | AAON, Inc. | 2,538,029 | |||
26,790 | Advanced Drainage Systems, Inc. | 3,268,112 | |||
19,047 | Allegion PLC | 2,225,832 | |||
10,375 | Armstrong World Industries, Inc. | 802,610 | |||
100,633 | AZEK (The) Co., Inc. (a) | 3,139,750 | |||
28,016 | Builders FirstSource, Inc. (a) | 4,046,351 | |||
21,182 | Fortune Brands Innovations, Inc. | 1,505,405 | |||
11,684 | Lennox International, Inc. | 4,293,169 | |||
39,842 | Masco Corp. | 2,417,613 | |||
29,198 | Owens Corning | 4,087,428 | |||
11,006 | Simpson Manufacturing Co., Inc. | 1,738,948 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Building Products (Continued) | |||||
11,625 | Trex Co., Inc. (a) | $803,752 | |||
39,262 | UFP Industries, Inc. | 4,034,563 | |||
34,901,562 | |||||
Capital Markets — 1.9% | |||||
5,083 | Affiliated Managers Group, Inc. | 704,707 | |||
24,664 | Evercore, Inc., Class A | 3,331,120 | |||
63,769 | Federated Hermes, Inc. | 2,157,305 | |||
15,504 | Houlihan Lokey, Inc. | 1,548,075 | |||
27,519 | Interactive Brokers Group, Inc., Class A | 2,403,234 | |||
226,662 | Invesco Ltd. | 3,807,922 | |||
68,921 | Jefferies Financial Group, Inc. | 2,535,604 | |||
23,814 | Lazard Ltd., Class A | 835,871 | |||
76,356 | Robinhood Markets, Inc., Class A (a) | 981,938 | |||
38,313 | Stifel Financial Corp. | 2,434,408 | |||
20,740,184 | |||||
Chemicals — 2.6% | |||||
37,264 | Avient Corp. | 1,510,310 | |||
92,904 | Axalta Coating Systems Ltd. (a) | 2,972,928 | |||
5,654 | Balchem Corp. | 761,820 | |||
11,393 | Cabot Corp. | 808,903 | |||
61,970 | Chemours (The) Co. | 2,291,651 | |||
27,306 | Eastman Chemical Co. | 2,336,847 | |||
79,378 | Element Solutions, Inc. | 1,663,763 | |||
21,311 | H.B. Fuller Co. | 1,577,653 | |||
141,014 | Huntsman Corp. | 4,197,987 | |||
111,125 | Livent Corp. (a) | 2,735,897 | |||
5,684 | NewMarket Corp. | 2,567,463 | |||
74,144 | Olin Corp. | 4,276,626 | |||
8,491 | RPM International, Inc. | 877,205 | |||
28,579,053 | |||||
Commercial Services & Supplies — 1.2% | |||||
25,276 | Casella Waste Systems, Inc., Class A (a) | 2,039,521 | |||
23,173 | Clean Harbors, Inc. (a) | 3,852,743 | |||
28,160 | Driven Brands Holdings, Inc. (a) | 728,499 | |||
13,142 | MSA Safety, Inc. | 2,181,572 | |||
32,819 | Stericycle, Inc. (a) | 1,394,479 | |||
13,963 | Tetra Tech, Inc. | 2,362,679 | |||
12,559,493 | |||||
Communications Equipment — 0.5% | |||||
15,270 | Calix, Inc. (a) | 688,830 | |||
35,868 | Ciena Corp. (a) | 1,513,630 | |||
10,419 | F5, Inc. (a) | 1,648,702 | |||
72,969 | Juniper Networks, Inc. | 2,028,538 | |||
5,879,700 |
Shares | Description | Value | |||
Construction & Engineering — 2.0% | |||||
17,996 | AECOM | $1,565,652 | |||
139,773 | API Group Corp. (a) | 4,019,871 | |||
23,206 | Comfort Systems USA, Inc. | 4,037,148 | |||
20,621 | EMCOR Group, Inc. | 4,434,340 | |||
181,958 | MDU Resources Group, Inc. | 4,024,911 | |||
5,238 | Valmont Industries, Inc. | 1,386,761 | |||
47,836 | WillScot Mobile Mini Holdings Corp. (a) | 2,293,736 | |||
21,762,419 | |||||
Construction Materials — 0.6% | |||||
20,438 | Eagle Materials, Inc. | 3,768,154 | |||
80,534 | Summit Materials, Inc., Class A (c) | 2,913,720 | |||
6,681,874 | |||||
Consumer Finance — 1.5% | |||||
112,854 | Ally Financial, Inc. | 3,446,561 | |||
1,500 | Credit Acceptance Corp. (a) | 834,900 | |||
24,496 | FirstCash Holdings, Inc. | 2,333,979 | |||
69,768 | OneMain Holdings, Inc. | 3,173,049 | |||
93,388 | SLM Corp. | 1,511,018 | |||
456,856 | SoFi Technologies, Inc. (a) | 5,231,001 | |||
16,530,508 | |||||
Consumer Staples Distribution & Retail — 0.9% | |||||
24,188 | BJ’s Wholesale Club Holdings, Inc. (a) | 1,603,906 | |||
12,500 | Casey’s General Stores, Inc. | 3,158,250 | |||
25,301 | Performance Food Group Co. (a) | 1,511,988 | |||
62,241 | Sprouts Farmers Market, Inc. (a) | 2,442,959 | |||
34,638 | US Foods Holding Corp. (a) | 1,480,082 | |||
10,197,185 | |||||
Containers & Packaging — 1.4% | |||||
6,576 | AptarGroup, Inc. | 798,721 | |||
47,377 | Berry Global Group, Inc. | 3,106,510 | |||
8,772 | Crown Holdings, Inc. | 813,691 | |||
95,134 | Graphic Packaging Holding Co. | 2,302,243 | |||
22,124 | Greif, Inc., Class A | 1,636,512 | |||
19,052 | Sealed Air Corp. | 869,152 | |||
32,503 | Silgan Holdings, Inc. | 1,425,257 | |||
51,647 | Sonoco Products Co. | 3,028,580 | |||
26,215 | Westrock Co. | 872,697 | |||
14,853,363 | |||||
Diversified Telecommunication Services — 0.7% | |||||
204,410 | Frontier Communications Parent, Inc. (a) | 3,722,306 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Diversified Telecommunication Services (Continued) | |||||
36,801 | Iridium Communications, Inc. | $1,933,893 | |||
1,348,738 | Lumen Technologies, Inc. | 2,414,241 | |||
8,070,440 | |||||
Electric Utilities — 1.2% | |||||
52,581 | ALLETE, Inc. | 3,019,727 | |||
63,152 | Hawaiian Electric Industries, Inc. | 2,424,405 | |||
22,282 | IDACORP, Inc. | 2,291,035 | |||
28,065 | Pinnacle West Capital Corp. | 2,324,344 | |||
65,091 | Portland General Electric Co. | 3,102,888 | |||
13,162,399 | |||||
Electrical Equipment — 0.9% | |||||
18,692 | Acuity Brands, Inc. | 3,088,666 | |||
24,434 | Atkore, Inc. (a) | 3,876,943 | |||
7,022 | EnerSys | 760,623 | |||
5,109 | Generac Holdings, Inc. (a) | 785,253 | |||
9,904 | Regal Rexnord Corp. | 1,546,807 | |||
10,058,292 | |||||
Electronic Equipment, Instruments & Components — 2.7% | |||||
13,675 | Advanced Energy Industries, Inc. | 1,711,837 | |||
26,602 | Arrow Electronics, Inc. (a) | 3,791,849 | |||
75,523 | Avnet, Inc. | 3,662,865 | |||
20,656 | Badger Meter, Inc. | 3,400,804 | |||
31,867 | Belden, Inc. | 3,079,627 | |||
13,602 | Cognex Corp. | 742,941 | |||
14,947 | Coherent Corp. (a) | 707,890 | |||
10,414 | Insight Enterprises, Inc. (a) | 1,527,630 | |||
14,121 | Jabil, Inc. | 1,562,771 | |||
7,846 | Littelfuse, Inc. | 2,389,892 | |||
50,575 | Sanmina Corp. (a) | 3,108,339 | |||
32,426 | TD SYNNEX Corp. | 3,200,770 | |||
23,657 | Vontier Corp. | 731,711 | |||
29,618,926 | |||||
Energy Equipment & Services — 1.7% | |||||
18,007 | Cactus, Inc., Class A | 914,395 | |||
98,200 | ChampionX Corp. | 3,495,920 | |||
21,497 | Helmerich & Payne, Inc. | 962,421 | |||
190,034 | NOV, Inc. | 3,815,883 | |||
127,324 | Patterson-UTI Energy, Inc. | 2,016,812 | |||
24,219 | Valaris Ltd. (a) | 1,860,019 | |||
57,365 | Weatherford International PLC (a) | 4,767,032 | |||
17,832,482 |
Shares | Description | Value | |||
Entertainment — 0.1% | |||||
4,052 | Madison Square Garden Sports Corp. | $862,063 | |||
Financial Services — 2.8% | |||||
56,115 | Equitable Holdings, Inc. | 1,609,939 | |||
81,416 | Essent Group Ltd. | 4,038,234 | |||
6,493 | Euronet Worldwide, Inc. (a) | 570,540 | |||
124,475 | Jackson Financial, Inc., Class A | 4,110,165 | |||
241,302 | MGIC Investment Corp. | 4,039,395 | |||
150,720 | Radian Group, Inc. | 4,058,890 | |||
33,665 | Shift4 Payments, Inc., Class A (a) | 2,322,548 | |||
168,817 | Toast, Inc., Class A (a) | 3,725,791 | |||
21,254 | Voya Financial, Inc. | 1,578,322 | |||
194,894 | Western Union (The) Co. | 2,373,809 | |||
8,371 | WEX, Inc. (a) | 1,585,049 | |||
30,012,682 | |||||
Food Products — 1.4% | |||||
35,840 | Darling Ingredients, Inc. (a) | 2,481,920 | |||
61,258 | Flowers Foods, Inc. | 1,513,685 | |||
28,771 | Ingredion, Inc. | 3,201,062 | |||
7,580 | Lancaster Colony Corp. | 1,460,135 | |||
35,179 | Post Holdings, Inc. (a) | 3,000,769 | |||
1,070 | Seaboard Corp. | 3,857,350 | |||
15,514,921 | |||||
Gas Utilities — 0.6% | |||||
29,763 | ONE Gas, Inc. | 2,355,146 | |||
11,972 | Southwest Gas Holdings, Inc. | 789,434 | |||
48,046 | Spire, Inc. | 3,054,284 | |||
6,198,864 | |||||
Ground Transportation — 2.3% | |||||
16,662 | Avis Budget Group, Inc. (a) | 3,670,472 | |||
207,189 | Hertz Global Holdings, Inc. (a) | 3,491,135 | |||
68,579 | Knight-Swift Transportation Holdings, Inc. | 4,166,174 | |||
11,875 | Landstar System, Inc. | 2,417,631 | |||
79,463 | Lyft, Inc., Class A (a) | 1,009,975 | |||
44,937 | Ryder System, Inc. | 4,590,314 | |||
11,128 | Saia, Inc. (a) | 4,708,702 | |||
12,917 | XPO, Inc. (a) | 894,373 | |||
24,948,776 | |||||
Health Care Equipment & Supplies — 2.2% | |||||
11,883 | Enovis Corp. (a) | 759,324 | |||
45,039 | Envista Holdings Corp. (a) | 1,549,792 | |||
17,900 | Haemonetics Corp. (a) | 1,651,096 | |||
11,737 | Inspire Medical Systems, Inc. (a) | 3,378,026 | |||
55,582 | Integra LifeSciences Holdings Corp. (a) | 2,527,314 | |||
36,321 | Lantheus Holdings, Inc. (a) | 3,141,403 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Health Care Equipment & Supplies (Continued) | |||||
18,223 | Merit Medical Systems, Inc. (a) | $1,360,711 | |||
8,861 | Penumbra, Inc. (a) | 2,688,073 | |||
27,590 | QuidelOrtho Corp. (a) | 2,410,262 | |||
13,351 | Shockwave Medical, Inc. (a) | 3,479,271 | |||
3,148 | Teleflex, Inc. | 790,683 | |||
23,735,955 | |||||
Health Care Providers & Services — 1.7% | |||||
19,138 | Acadia Healthcare Co., Inc. (a) | 1,512,476 | |||
43,948 | agilon health, Inc. (a) | 841,604 | |||
20,950 | AMN Healthcare Services, Inc. (a) | 2,244,792 | |||
7,586 | DaVita, Inc. (a) | 773,696 | |||
11,253 | Encompass Health Corp. | 743,036 | |||
15,964 | Ensign Group (The), Inc. | 1,546,433 | |||
12,070 | HealthEquity, Inc. (a) | 820,036 | |||
18,792 | Henry Schein, Inc. (a) | 1,480,622 | |||
46,910 | Option Care Health, Inc. (a) | 1,584,620 | |||
110,201 | Premier, Inc., Class A | 3,058,078 | |||
23,918 | Select Medical Holdings Corp. | 717,779 | |||
9,363 | Tenet Healthcare Corp. (a) | 699,697 | |||
19,321 | Universal Health Services, Inc., Class B | 2,684,846 | |||
18,707,715 | |||||
Health Care REITs — 0.7% | |||||
80,809 | Healthcare Realty Trust, Inc. | 1,578,200 | |||
329,174 | Medical Properties Trust, Inc. | 3,321,366 | |||
163,410 | Physicians Realty Trust | 2,408,663 | |||
7,308,229 | |||||
Health Care Technology — 0.1% | |||||
30,095 | Teladoc Health, Inc. (a) | 895,928 | |||
Hotel & Resort REITs — 0.3% | |||||
50,431 | Apple Hospitality REIT, Inc. | 781,680 | |||
24,602 | Ryman Hospitality Properties, Inc. | 2,344,325 | |||
3,126,005 | |||||
Hotels, Restaurants & Leisure — 5.4% | |||||
88,505 | Aramark | 3,572,947 | |||
43,941 | Boyd Gaming Corp. | 3,002,049 | |||
59,805 | Caesars Entertainment, Inc. (a) | 3,529,691 | |||
202,346 | Carnival Corp. (a) | 3,812,199 | |||
12,967 | Choice Hotels International, Inc. | 1,695,435 | |||
21,903 | Churchill Downs, Inc. | 2,537,463 | |||
143,402 | DraftKings, Inc., Class A (a) | 4,557,316 | |||
67,082 | Hilton Grand Vacations, Inc. (a) | 3,119,313 | |||
33,255 | Hyatt Hotels Corp., Class A | 4,201,769 |
Shares | Description | Value | |||
Hotels, Restaurants & Leisure (Continued) | |||||
193,706 | Life Time Group Holdings, Inc. (a) | $3,504,142 | |||
33,249 | Light & Wonder, Inc. (a) | 2,337,405 | |||
6,210 | Marriott Vacations Worldwide Corp. | 798,047 | |||
175,020 | Norwegian Cruise Line Holdings Ltd. (a) | 3,862,691 | |||
158,559 | Penn Entertainment, Inc. (a) | 4,168,516 | |||
27,211 | SeaWorld Entertainment, Inc. (a) | 1,506,673 | |||
27,147 | Texas Roadhouse, Inc. | 3,028,248 | |||
56,670 | Travel + Leisure Co. | 2,308,169 | |||
6,054 | Vail Resorts, Inc. | 1,425,656 | |||
35,035 | Wendy’s (The) Co. | 752,902 | |||
15,229 | Wingstop, Inc. | 2,567,305 | |||
14,433 | Wynn Resorts Ltd. | 1,572,908 | |||
57,860,844 | |||||
Household Durables — 2.0% | |||||
77,180 | Leggett & Platt, Inc. | 2,258,287 | |||
26,782 | Meritage Homes Corp. | 3,989,179 | |||
14,774 | Mohawk Industries, Inc. (a) | 1,571,067 | |||
87,592 | Newell Brands, Inc. | 977,527 | |||
78,126 | Taylor Morrison Home Corp. (a) | 3,782,861 | |||
57,052 | Tempur Sealy International, Inc. | 2,546,231 | |||
48,188 | Toll Brothers, Inc. | 3,870,942 | |||
8,595 | TopBuild Corp. (a) | 2,354,428 | |||
21,350,522 | |||||
Household Products — 0.1% | |||||
26,975 | Reynolds Consumer Products, Inc. | 746,668 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||||
145,150 | Vistra Corp. | 4,072,909 | |||
Industrial REITs — 0.4% | |||||
47,186 | Americold Realty Trust, Inc. | 1,529,770 | |||
14,476 | First Industrial Realty Trust, Inc. | 748,409 | |||
42,479 | STAG Industrial, Inc. | 1,541,988 | |||
3,820,167 | |||||
Insurance — 2.9% | |||||
29,246 | American Equity Investment Life Holding Co. | 1,569,633 | |||
12,835 | American Financial Group, Inc. | 1,560,864 | |||
6,062 | Assurant, Inc. | 815,400 | |||
27,312 | Assured Guaranty Ltd. | 1,632,711 | |||
28,313 | Axis Capital Holdings Ltd. | 1,560,613 | |||
6,241 | Enstar Group Ltd. (a) | 1,596,947 | |||
63,502 | Fidelity National Financial, Inc. | 2,487,373 | |||
26,729 | First American Financial Corp. | 1,694,084 | |||
13,903 | Globe Life, Inc. | 1,559,499 | |||
8,146 | Kinsale Capital Group, Inc. | 3,035,444 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance (Continued) | |||||
90,829 | Old Republic International Corp. | $2,504,156 | |||
3,854 | Primerica, Inc. | 819,746 | |||
16,484 | Reinsurance Group of America, Inc. | 2,313,529 | |||
8,172 | RenaissanceRe Holdings Ltd. | 1,526,203 | |||
33,950 | Ryan Specialty Holdings, Inc. (a) | 1,471,393 | |||
7,942 | Selective Insurance Group, Inc. | 819,535 | |||
63,902 | Unum Group | 3,106,276 | |||
547 | White Mountains Insurance Group Ltd. | 846,220 | |||
30,919,626 | |||||
Interactive Media & Services — 0.1% | |||||
21,753 | Ziff Davis, Inc. (a) | 1,577,528 | |||
IT Services — 0.1% | |||||
57,038 | DXC Technology Co. (a) | 1,577,101 | |||
Leisure Products — 0.8% | |||||
35,183 | Brunswick Corp. | 3,036,645 | |||
11,765 | Hasbro, Inc. | 759,549 | |||
39,000 | Mattel, Inc. (a) | 830,700 | |||
25,205 | Polaris, Inc. | 3,423,847 | |||
38,391 | Topgolf Callaway Brands Corp. (a) | 766,668 | |||
8,817,409 | |||||
Life Sciences Tools & Services — 0.4% | |||||
13,646 | 10X Genomics, Inc., Class A (a) | 859,425 | |||
12,693 | Medpace Holdings, Inc. (a) | 3,213,487 | |||
4,072,912 | |||||
Machinery — 4.2% | |||||
23,195 | AGCO Corp. | 3,087,255 | |||
8,170 | Albany International Corp., Class A | 786,608 | |||
67,486 | Allison Transmission Holdings, Inc. | 3,960,753 | |||
67,510 | Crane NXT Co. | 3,993,217 | |||
12,191 | Donaldson Co., Inc. | 765,961 | |||
34,356 | Esab Corp. | 2,360,257 | |||
41,024 | Flowserve Corp. | 1,549,066 | |||
29,624 | Franklin Electric Co., Inc. | 2,927,444 | |||
26,474 | Graco, Inc. | 2,100,183 | |||
24,525 | ITT, Inc. | 2,442,690 | |||
6,284 | John Bean Technologies Corp. | 776,765 | |||
15,345 | Lincoln Electric Holdings, Inc. | 3,079,895 | |||
10,311 | Middleby (The) Corp. (a) | 1,565,725 | |||
43,655 | Mueller Industries, Inc. | 3,538,674 | |||
17,602 | Oshkosh Corp. | 1,620,616 | |||
7,007 | RBC Bearings, Inc. (a) | 1,583,932 | |||
63,683 | Terex Corp. | 3,733,734 |
Shares | Description | Value | |||
Machinery (Continued) | |||||
24,976 | Timken (The) Co. | $2,319,271 | |||
7,497 | Toro (The) Co. | 762,070 | |||
12,443 | Watts Water Technologies, Inc., Class A | 2,320,993 | |||
45,275,109 | |||||
Marine Transportation — 0.2% | |||||
29,709 | Kirby Corp. (a) | 2,420,689 | |||
Media — 1.3% | |||||
3,480 | Cable One, Inc. | 2,519,311 | |||
578,177 | DISH Network Corp., Class A (a) | 4,584,944 | |||
19,352 | New York Times (The) Co., Class A | 788,788 | |||
117,236 | News Corp., Class A | 2,323,617 | |||
22,877 | Nexstar Media Group, Inc. | 4,271,593 | |||
14,488,253 | |||||
Metals & Mining — 1.3% | |||||
86,143 | ATI, Inc. (a) | 4,107,298 | |||
181,870 | Cleveland-Cliffs, Inc. (a) | 3,210,005 | |||
57,885 | Commercial Metals Co. | 3,312,180 | |||
152,346 | United States Steel Corp. | 3,884,823 | |||
14,514,306 | |||||
Mortgage REITs — 0.8% | |||||
76,165 | Annaly Capital Management, Inc. | 1,530,155 | |||
109,857 | Blackstone Mortgage Trust, Inc., Class A (b) | 2,525,612 | |||
244,503 | Rithm Capital Corp. | 2,464,590 | |||
117,840 | Starwood Property Trust, Inc. | 2,444,002 | |||
8,964,359 | |||||
Multi-Utilities — 0.3% | |||||
50,585 | Black Hills Corp. | 3,051,793 | |||
Office REITs — 1.0% | |||||
52,929 | Boston Properties, Inc. | 3,526,659 | |||
133,690 | Cousins Properties, Inc. | 3,266,047 | |||
126,626 | Kilroy Realty Corp. | 4,520,548 | |||
11,313,254 | |||||
Oil, Gas & Consumable Fuels — 4.8% | |||||
131,386 | Antero Midstream Corp. | 1,568,749 | |||
33,088 | Antero Resources Corp. (a) | 885,104 | |||
45,532 | Chesapeake Energy Corp. | 3,840,169 | |||
24,773 | Chord Energy Corp. | 3,885,397 | |||
43,941 | Civitas Resources, Inc. | 3,289,423 | |||
17,667 | Denbury, Inc. (a) | 1,553,106 | |||
61,493 | DT Midstream, Inc. | 3,291,105 | |||
92,638 | EQT Corp. | 3,907,471 | |||
85,411 | HF Sinclair Corp. | 4,449,059 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Oil, Gas & Consumable Fuels (Continued) | |||||
36,462 | Magnolia Oil & Gas Corp., Class A | $807,633 | |||
29,130 | Matador Resources Co. | 1,620,502 | |||
59,689 | Murphy Oil Corp. | 2,582,743 | |||
93,068 | PBF Energy, Inc., Class A | 4,415,146 | |||
175,909 | Peabody Energy Corp. | 3,947,398 | |||
103,680 | Range Resources Corp. | 3,258,663 | |||
120,461 | SM Energy Co. | 4,371,530 | |||
633,975 | Southwestern Energy Co. (a) | 4,108,158 | |||
51,781,356 | |||||
Paper & Forest Products — 0.3% | |||||
40,653 | Louisiana-Pacific Corp. | 3,094,913 | |||
Passenger Airlines — 0.4% | |||||
14,329 | Alaska Air Group, Inc. (a) | 696,819 | |||
212,386 | American Airlines Group, Inc. (a) | 3,557,466 | |||
4,254,285 | |||||
Personal Care Products — 0.6% | |||||
83,283 | BellRing Brands, Inc. (a) | 2,994,024 | |||
62,004 | Coty, Inc., Class A (a) | 746,528 | |||
16,905 | Inter Parfums, Inc. | 2,528,312 | |||
6,268,864 | |||||
Pharmaceuticals — 0.9% | |||||
17,576 | Catalent, Inc. (a) | 852,788 | |||
302,996 | Elanco Animal Health, Inc. (a) | 3,657,162 | |||
36,103 | Intra-Cellular Therapies, Inc. (a) | 2,232,609 | |||
73,238 | Organon & Co. | 1,609,771 | |||
22,446 | Perrigo Co. PLC | 822,421 | |||
9,174,751 | |||||
Professional Services — 2.5% | |||||
82,473 | Alight, Inc., Class A (a) | 806,586 | |||
40,304 | ASGN, Inc. (a) | 3,076,001 | |||
4,472 | CACI International, Inc., Class A (a) | 1,567,168 | |||
11,380 | Ceridian HCM Holding, Inc. (a) | 805,818 | |||
47,186 | Concentrix Corp. | 3,927,763 | |||
131,725 | Dun & Bradstreet Holdings, Inc. | 1,556,989 | |||
4,006 | FTI Consulting, Inc. (a) | 701,691 | |||
40,565 | Genpact Ltd. | 1,463,991 | |||
19,216 | Insperity, Inc. | 2,260,762 | |||
35,140 | KBR, Inc. | 2,160,759 | |||
28,791 | ManpowerGroup, Inc. | 2,271,034 | |||
9,017 | Maximus, Inc. | 755,264 | |||
30,392 | Robert Half, Inc. | 2,253,567 |
Shares | Description | Value | |||
Professional Services (Continued) | |||||
13,551 | Science Applications International Corp. | $1,644,278 | |||
16,047 | TriNet Group, Inc. (a) | 1,688,626 | |||
26,940,297 | |||||
Real Estate Management & Development — 0.5% | |||||
19,312 | Howard Hughes (The) Corp. (a) | 1,630,512 | |||
19,566 | Jones Lang LaSalle, Inc. (a) | 3,258,717 | |||
4,889,229 | |||||
Residential REITs — 0.5% | |||||
21,497 | American Homes 4 Rent, Class A | 805,708 | |||
84,458 | Apartment Income REIT Corp. | 2,917,179 | |||
83,648 | Independence Realty Trust, Inc. | 1,425,362 | |||
5,148,249 | |||||
Retail REITs — 0.2% | |||||
102,333 | Kite Realty Group Trust | 2,341,379 | |||
Semiconductors & Semiconductor Equipment — 2.6% | |||||
50,644 | Allegro MicroSystems, Inc. (a) | 2,613,737 | |||
128,075 | Amkor Technology, Inc. | 3,725,702 | |||
20,783 | Axcelis Technologies, Inc. (a) | 4,166,576 | |||
16,479 | Diodes, Inc. (a) | 1,557,101 | |||
23,797 | Lattice Semiconductor Corp. (a) | 2,164,099 | |||
14,099 | MKS Instruments, Inc. | 1,539,188 | |||
26,172 | Onto Innovation, Inc. (a) | 3,253,703 | |||
8,048 | Power Integrations, Inc. | 781,783 | |||
59,378 | Rambus, Inc. (a) | 3,717,656 | |||
9,662 | Silicon Laboratories, Inc. (a) | 1,440,990 | |||
26,776 | Synaptics, Inc. (a) | 2,418,140 | |||
5,286 | Universal Display Corp. | 771,122 | |||
28,149,797 | |||||
Software — 3.9% | |||||
42,156 | Bentley Systems, Inc., Class B | 2,271,365 | |||
25,937 | Box, Inc., Class A (a) | 810,531 | |||
271,912 | CCC Intelligent Solutions Holdings, Inc. (a) | 2,996,470 | |||
107,907 | Confluent, Inc., Class A (a) | 3,727,108 | |||
9,105 | Dolby Laboratories, Inc., Class A | 806,794 | |||
97,899 | DoubleVerify Holdings, Inc. (a) | 4,121,548 | |||
85,717 | Dropbox, Inc., Class A (a) | 2,310,073 | |||
44,415 | Dynatrace, Inc. (a) | 2,429,056 | |||
23,769 | Elastic N.V. (a) | 1,579,450 | |||
18,486 | Five9, Inc. (a) | 1,622,147 | |||
44,729 | Gitlab, Inc., Class A (a) | 2,219,900 | |||
10,015 | Guidewire Software, Inc. (a) | 849,472 | |||
15,251 | Manhattan Associates, Inc. (a) | 2,907,146 | |||
90,718 | NCR Corp. (a) | 2,438,500 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
11,646 | New Relic, Inc. (a) | $978,031 | |||
54,334 | Nutanix, Inc., Class A (a) | 1,640,887 | |||
35,133 | Procore Technologies, Inc. (a) | 2,664,838 | |||
5,899 | Qualys, Inc. (a) | 818,781 | |||
15,871 | SPS Commerce, Inc. (a) | 2,862,970 | |||
14,992 | Workiva, Inc. (a) | 1,578,508 | |||
41,633,575 | |||||
Specialized REITs — 0.3% | |||||
7,677 | Lamar Advertising Co., Class A | 757,720 | |||
43,257 | PotlatchDeltic Corp. | 2,319,873 | |||
3,077,593 | |||||
Specialty Retail — 4.8% | |||||
28,196 | Academy Sports & Outdoors, Inc. | 1,685,839 | |||
43,358 | Advance Auto Parts, Inc. | 3,225,402 | |||
15,848 | Asbury Automotive Group, Inc. (a) | 3,575,309 | |||
23,147 | AutoNation, Inc. (a) | 3,726,204 | |||
40,642 | Bath & Body Works, Inc. | 1,506,192 | |||
9,103 | CarMax, Inc. (a) | 751,999 | |||
38,614 | Chewy, Inc., Class A (a) | 1,309,015 | |||
11,529 | Dick’s Sporting Goods, Inc. | 1,625,589 | |||
7,755 | Five Below, Inc. (a) | 1,615,677 | |||
29,320 | Floor & Decor Holdings, Inc., Class A (a) | 3,367,402 | |||
140,545 | Foot Locker, Inc. | 3,776,444 | |||
256,004 | Gap (The), Inc. | 2,636,841 | |||
12,528 | Lithia Motors, Inc. | 3,890,320 | |||
12,248 | Murphy USA, Inc. | 3,760,503 | |||
18,295 | Penske Automotive Group, Inc. | 2,953,179 | |||
2,311 | RH (a) | 897,061 | |||
58,384 | Signet Jewelers Ltd. | 4,699,328 | |||
20,316 | Valvoline, Inc. | 771,398 | |||
131,159 | Victoria’s Secret & Co. (a) | 2,687,448 | |||
24,357 | Williams-Sonoma, Inc. | 3,376,854 | |||
51,838,004 | |||||
Technology Hardware, Storage & Peripherals — 0.8% | |||||
82,785 | Pure Storage, Inc., Class A (a) | 3,062,217 | |||
15,287 | Super Micro Computer, Inc. (a) | 5,048,838 | |||
8,111,055 | |||||
Textiles, Apparel & Luxury Goods — 1.8% | |||||
20,332 | Crocs, Inc. (a) | 2,202,972 | |||
5,776 | Deckers Outdoor Corp. (a) | 3,140,353 | |||
26,904 | PVH Corp. | 2,411,675 | |||
18,540 | Ralph Lauren Corp. | 2,434,858 | |||
43,412 | Skechers U.S.A., Inc., Class A (a) | 2,412,839 |
Shares | Description | Value | |||
Textiles, Apparel & Luxury Goods (Continued) | |||||
35,610 | Tapestry, Inc. | $1,536,571 | |||
527,726 | Under Armour, Inc., Class A (a) | 4,253,472 | |||
39,917 | VF Corp. | 790,756 | |||
19,183,496 | |||||
Trading Companies & Distributors — 2.8% | |||||
91,045 | Air Lease Corp. | 3,854,845 | |||
21,047 | Applied Industrial Technologies, Inc. | 3,051,605 | |||
45,916 | Beacon Roofing Supply, Inc. (a) | 3,933,624 | |||
121,576 | Core & Main, Inc., Class A (a) | 3,843,017 | |||
11,840 | GATX Corp. | 1,484,262 | |||
27,842 | Herc Holdings, Inc. | 3,726,095 | |||
31,993 | MSC Industrial Direct Co., Inc., Class A | 3,228,734 | |||
4,554 | SiteOne Landscape Supply, Inc. (a) | 774,180 | |||
7,991 | Watsco, Inc. | 3,022,116 | |||
21,280 | WESCO International, Inc. | 3,736,130 | |||
30,654,608 | |||||
Total Common Stocks | 1,079,967,869 | ||||
(Cost $922,350,610) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
945,375 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | 945,375 | |||
1,366,194 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (d) | 1,366,194 | |||
Total Money Market Funds | 2,311,569 | ||||
(Cost $2,311,569) |
Portfolio of Investments (Continued)
July 31, 2023
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 0.9% | |||||
$9,346,695 | BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $9,348,056. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $9,533,838. (e) | $9,346,695 | |||
(Cost $9,346,695) | |||||
Total Investments — 101.0% | 1,091,626,133 | ||||
(Cost $934,008,874) | |||||
Net Other Assets and Liabilities — (1.0)% | (10,792,218 ) | ||||
Net Assets — 100.0% | $1,080,833,915 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $9,958,578 and the total value of the collateral held by the Fund is $10,292,070. |
(c) | Non-income producing security which makes payment-in- kind (“PIK”) distributions. There were no in-kind distributions received for the fiscal year ended July 31, 2023. |
(d) | Rate shown reflects yield as of July 31, 2023. |
(e) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,079,967,869 | $1,079,967,869 | $— | $— |
Money Market Funds | 2,311,569 | 2,311,569 | — | — |
Repurchase Agreements | 9,346,695 | — | 9,346,695 | — |
Total Investments | $1,091,626,133 | $1,082,279,438 | $9,346,695 | $— |
* | See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $9,958,578 |
Non-cash Collateral(2) | (9,958,578 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $9,346,695 |
Non-cash Collateral(4) | (9,346,695 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Aerospace & Defense — 0.9% | |||||
17,756 | AAR Corp. (a) | $1,061,809 | |||
15,039 | AeroVironment, Inc. (a) | 1,432,615 | |||
14,824 | Mercury Systems, Inc. (a) | 563,016 | |||
9,459 | Moog, Inc., Class A | 997,357 | |||
427,347 | Rocket Lab USA, Inc. (a) | 3,149,547 | |||
10,350 | V2X, Inc. (a) | 532,611 | |||
7,736,955 | |||||
Air Freight & Logistics — 0.8% | |||||
135,883 | Air Transport Services Group, Inc. (a) | 2,739,401 | |||
9,665 | Forward Air Corp. | 1,148,589 | |||
31,923 | Hub Group, Inc., Class A (a) | 2,877,220 | |||
6,765,210 | |||||
Automobile Components — 1.8% | |||||
30,165 | Dana, Inc. | 572,532 | |||
13,011 | Dorman Products, Inc. (a) | 1,101,902 | |||
9,075 | Gentherm, Inc. (a) | 542,413 | |||
149,946 | Goodyear Tire & Rubber (The) Co. (a) | 2,411,132 | |||
12,176 | LCI Industries | 1,659,223 | |||
223,612 | Luminar Technologies, Inc. (a) (b) | 1,654,729 | |||
77,652 | Modine Manufacturing Co. (a) | 2,916,609 | |||
32,053 | Patrick Industries, Inc. | 2,774,187 | |||
24,358 | XPEL, Inc. (a) (c) | 1,978,600 | |||
15,611,327 | |||||
Automobiles — 0.3% | |||||
38,447 | Winnebago Industries, Inc. | 2,645,154 | |||
Banks — 14.1% | |||||
36,689 | 1st Source Corp. | 1,720,714 | |||
59,959 | Ameris Bancorp | 2,617,210 | |||
157,985 | Associated Banc-Corp. | 2,993,816 | |||
79,045 | Atlantic Union Bankshares Corp. | 2,527,859 | |||
39,007 | Axos Financial, Inc. (a) | 1,833,329 | |||
11,151 | BancFirst Corp. | 1,113,985 | |||
31,411 | Bancorp (The), Inc. (a) | 1,190,477 | |||
37,311 | Bank of Hawaii Corp. (b) | 2,131,577 | |||
95,186 | BankUnited, Inc. | 2,840,350 | |||
46,969 | Banner Corp. | 2,236,194 | |||
74,215 | Berkshire Hills Bancorp, Inc. | 1,692,844 | |||
234,698 | Brookline Bancorp, Inc. | 2,506,575 | |||
249,346 | Capitol Federal Financial, Inc. | 1,653,164 | |||
63,721 | Cathay General Bancorp | 2,423,947 | |||
5,699 | City Holding Co. | 563,688 | |||
50,575 | Columbia Banking System, Inc. | 1,130,351 | |||
21,878 | Community Bank System, Inc. | 1,177,693 | |||
145,437 | Dime Community Bancshares, Inc. | 3,257,789 |
Shares | Description | Value | |||
Banks (Continued) | |||||
121,176 | Eagle Bancorp, Inc. | $3,356,575 | |||
52,461 | Enterprise Financial Services Corp. | 2,150,901 | |||
54,844 | FB Financial Corp. | 1,942,574 | |||
51,716 | First Bancorp | 1,710,765 | |||
125,896 | First BanCorp | 1,869,556 | |||
102,053 | First Busey Corp. | 2,210,468 | |||
121,615 | First Commonwealth Financial Corp. | 1,756,121 | |||
100,354 | First Financial Bancorp | 2,317,174 | |||
72,664 | First Merchants Corp. | 2,333,968 | |||
172,090 | Fulton Financial Corp. | 2,460,887 | |||
92,002 | Heartland Financial USA, Inc. | 3,159,349 | |||
32,599 | Hilltop Holdings, Inc. | 1,008,287 | |||
304,525 | Hope Bancorp, Inc. | 3,307,141 | |||
44,554 | Independent Bank Group, Inc. | 1,999,138 | |||
46,412 | International Bancshares Corp. | 2,303,892 | |||
58,475 | Live Oak Bancshares, Inc. | 2,214,448 | |||
52,978 | National Bank Holdings Corp., Class A | 1,820,324 | |||
48,302 | NBT Bancorp, Inc. | 1,796,834 | |||
145,139 | Northwest Bancshares, Inc. | 1,793,918 | |||
164,153 | OceanFirst Financial Corp. | 3,058,170 | |||
78,651 | OFG Bancorp | 2,634,022 | |||
52,510 | Origin Bancorp, Inc. | 1,711,826 | |||
99,194 | Pacific Premier Bancorp, Inc. | 2,533,415 | |||
62,920 | PacWest Bancorp (b) | 585,156 | |||
10,024 | Park National Corp. | 1,117,876 | |||
33,182 | Pathward Financial, Inc. | 1,724,137 | |||
125,535 | Provident Financial Services, Inc. | 2,327,419 | |||
78,500 | Renasant Corp. | 2,428,790 | |||
113,056 | Sandy Spring Bancorp, Inc. | 2,766,480 | |||
46,412 | Seacoast Banking Corp. of Florida | 1,146,841 | |||
118,917 | Simmons First National Corp., Class A | 2,400,934 | |||
78,413 | Southside Bancshares, Inc. | 2,604,096 | |||
44,805 | Stellar Bancorp, Inc. | 1,113,852 | |||
39,829 | Texas Capital Bancshares, Inc. (a) | 2,543,082 | |||
66,198 | TowneBank | 1,673,485 | |||
16,893 | Triumph Financial, Inc. | 1,197,883 | |||
72,845 | Trustmark Corp. | 1,912,910 | |||
143,006 | Veritex Holdings, Inc. | 3,076,059 | |||
77,351 | Washington Federal, Inc. | 2,400,975 | |||
80,099 | WesBanco, Inc. | 2,243,573 | |||
54,381 | WSFS Financial Corp. | 2,379,169 | |||
122,704,032 | |||||
Beverages — 0.1% | |||||
9,650 | MGP Ingredients, Inc. | 1,100,197 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Biotechnology — 3.0% | |||||
85,650 | ACADIA Pharmaceuticals, Inc. (a) | $2,504,406 | |||
54,326 | Agios Pharmaceuticals, Inc. (a) | 1,440,726 | |||
59,632 | Bridgebio Pharma, Inc. (a) | 2,087,716 | |||
38,158 | Catalyst Pharmaceuticals, Inc. (a) | 527,725 | |||
158,768 | Dynavax Technologies Corp. (a) | 2,221,164 | |||
319,513 | Geron Corp. (a) | 1,035,222 | |||
48,610 | Insmed, Inc. (a) | 1,073,795 | |||
126,002 | MannKind Corp. (a) | 575,829 | |||
44,725 | Morphic Holding, Inc. (a) | 2,537,249 | |||
15,020 | Prothena Corp. PLC (a) | 1,034,427 | |||
12,610 | PTC Therapeutics, Inc. (a) | 508,687 | |||
137,301 | Recursion Pharmaceuticals, Inc., Class A (a) | 1,938,690 | |||
38,344 | REVOLUTION Medicines, Inc. (a) | 1,006,530 | |||
31,099 | Rhythm Pharmaceuticals, Inc. (a) (b) | 554,806 | |||
43,623 | Sage Therapeutics, Inc. (a) | 1,512,846 | |||
82,579 | TG Therapeutics, Inc. (a) | 1,708,560 | |||
25,063 | Twist Bioscience Corp. (a) | 610,034 | |||
11,114 | Ultragenyx Pharmaceutical, Inc. (a) | 479,236 | |||
60,405 | Veracyte, Inc. (a) | 1,658,117 | |||
40,950 | Vericel Corp. (a) | 1,470,924 | |||
26,486,689 | |||||
Broadline Retail — 0.1% | |||||
25,051 | Nordstrom, Inc. (b) | 578,929 | |||
Building Products — 1.5% | |||||
15,427 | CSW Industrials, Inc. | 2,785,345 | |||
16,302 | Gibraltar Industries, Inc. (a) | 1,054,250 | |||
63,625 | Griffon Corp. | 2,654,435 | |||
39,910 | Hayward Holdings, Inc. (a) | 533,198 | |||
192,428 | Janus International Group, Inc. (a) | 2,197,528 | |||
52,777 | PGT Innovations, Inc. (a) | 1,509,950 | |||
145,192 | Resideo Technologies, Inc. (a) | 2,717,994 | |||
13,452,700 | |||||
Capital Markets — 2.0% | |||||
13,044 | Artisan Partners Asset Management, Inc., Class A | 541,195 | |||
51,868 | AssetMark Financial Holdings, Inc. (a) | 1,550,853 | |||
33,460 | B. Riley Financial, Inc. (b) | 1,858,034 | |||
115,763 | BGC Group, Inc., Class A | 551,032 | |||
33,793 | Donnelley Financial Solutions, Inc. (a) | 1,598,409 | |||
76,216 | Golub Capital BDC, Inc. (b) | 1,061,689 | |||
19,237 | Hamilton Lane, Inc., Class A | 1,701,128 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
11,308 | Moelis & Co., Class A | $552,170 | |||
7,933 | Piper Sandler Cos. | 1,161,074 | |||
18,518 | StoneX Group, Inc. (a) | 1,703,841 | |||
65,037 | Victory Capital Holdings, Inc., Class A | 2,156,627 | |||
60,016 | Virtu Financial, Inc., Class A | 1,113,897 | |||
7,794 | Virtus Investment Partners, Inc. | 1,603,459 | |||
17,153,408 | |||||
Chemicals — 1.8% | |||||
73,301 | AdvanSix, Inc. | 2,940,103 | |||
89,495 | Ecovyst, Inc. (a) | 1,099,894 | |||
8,819 | Ingevity Corp. (a) | 564,592 | |||
10,213 | Innospec, Inc. | 1,094,221 | |||
135,668 | Mativ Holdings, Inc. | 2,135,414 | |||
35,554 | Minerals Technologies, Inc. | 2,181,238 | |||
96,668 | Orion S.A. | 2,118,963 | |||
250,156 | Perimeter Solutions S.A. (a) | 1,390,867 | |||
14,418 | Sensient Technologies Corp. | 923,329 | |||
16,101 | Stepan Co. | 1,542,798 | |||
15,991,419 | |||||
Commercial Services & Supplies — 2.1% | |||||
24,048 | ABM Industries, Inc. | 1,112,941 | |||
32,340 | Brady Corp., Class A | 1,668,097 | |||
30,244 | Brink’s (The) Co. | 2,206,602 | |||
272,485 | CoreCivic, Inc. (a) | 2,643,104 | |||
358,114 | GEO Group (The), Inc. (a) | 2,675,112 | |||
72,795 | HNI Corp. | 2,117,607 | |||
173,486 | MillerKnoll, Inc. | 3,395,121 | |||
24,353 | Montrose Environmental Group, Inc. (a) | 985,566 | |||
9,923 | UniFirst Corp. | 1,610,503 | |||
18,414,653 | |||||
Communications Equipment — 1.1% | |||||
97,399 | ADTRAN Holdings, Inc. | 947,692 | |||
52,074 | Digi International, Inc. (a) | 2,183,463 | |||
98,432 | Extreme Networks, Inc. (a) | 2,617,307 | |||
126,857 | Harmonic, Inc. (a) | 1,892,706 | |||
49,706 | NetScout Systems, Inc. (a) | 1,389,283 | |||
12,428 | Viasat, Inc. (a) | 384,522 | |||
45,264 | Viavi Solutions, Inc. (a) | 492,020 | |||
9,906,993 | |||||
Construction & Engineering — 1.1% | |||||
10,548 | Ameresco, Inc., Class A (a) | 613,999 | |||
27,070 | Arcosa, Inc. | 2,089,263 | |||
16,338 | Construction Partners, Inc., Class A (a) | 480,337 | |||
22,564 | Dycom Industries, Inc. (a) | 2,246,923 | |||
38,672 | Granite Construction, Inc. | 1,582,845 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Construction & Engineering (Continued) | |||||
3,708 | MYR Group, Inc. (a) | $528,612 | |||
67,322 | Primoris Services Corp. | 2,138,147 | |||
9,680,126 | |||||
Consumer Finance — 1.4% | |||||
81,687 | Bread Financial Holdings, Inc. | 3,395,729 | |||
21,095 | Encore Capital Group, Inc. (a) | 1,128,582 | |||
48,270 | Enova International, Inc. (a) | 2,659,194 | |||
110,400 | Navient Corp. | 2,102,016 | |||
15,947 | Nelnet, Inc., Class A | 1,573,650 | |||
44,887 | PRA Group, Inc. (a) | 1,071,004 | |||
11,930,175 | |||||
Consumer Staples Distribution & Retail — 1.5% | |||||
44,450 | Andersons (The), Inc. | 2,170,049 | |||
57,361 | Chefs’ Warehouse (The), Inc. (a) | 2,084,499 | |||
16,753 | Grocery Outlet Holding Corp. (a) | 560,388 | |||
31,020 | Ingles Markets, Inc., Class A | 2,630,496 | |||
13,847 | PriceSmart, Inc. | 1,076,327 | |||
131,157 | United Natural Foods, Inc. (a) | 2,728,065 | |||
31,946 | Weis Markets, Inc. | 2,119,298 | |||
13,369,122 | |||||
Containers & Packaging — 0.8% | |||||
120,209 | O-I Glass, Inc. (a) | 2,759,999 | |||
338,715 | Pactiv Evergreen, Inc. | 2,916,336 | |||
55,963 | TriMas Corp. | 1,441,607 | |||
7,117,942 | |||||
Diversified Consumer Services — 1.7% | |||||
14,935 | Adtalem Global Education, Inc. (a) | 645,789 | |||
288,750 | Chegg, Inc. (a) | 2,925,037 | |||
14,351 | Duolingo, Inc. (a) | 2,227,132 | |||
16,078 | Frontdoor, Inc. (a) | 561,444 | |||
2,694 | Graham Holdings Co., Class B | 1,580,704 | |||
84,835 | Laureate Education, Inc. | 1,087,585 | |||
53,143 | Mister Car Wash, Inc. (a) | 527,710 | |||
15,120 | Strategic Education, Inc. | 1,135,512 | |||
55,099 | Stride, Inc. (a) | 2,105,333 | |||
143,380 | Udemy, Inc. (a) | 1,693,318 | |||
14,489,564 | |||||
Diversified REITs — 1.0% | |||||
106,835 | American Assets Trust, Inc. | 2,403,787 | |||
132,852 | Broadstone Net Lease, Inc. | 2,165,488 |
Shares | Description | Value | |||
Diversified REITs (Continued) | |||||
273,867 | Empire State Realty Trust, Inc., Class A | $2,451,110 | |||
149,657 | Global Net Lease, Inc. | 1,599,833 | |||
8,620,218 | |||||
Diversified Telecommunication Services — 0.3% | |||||
7,623 | Cogent Communications Holdings, Inc. | 466,833 | |||
237,967 | Liberty Latin America Ltd., Class C (a) | 1,979,885 | |||
2,446,718 | |||||
Electric Utilities — 0.2% | |||||
6,483 | MGE Energy, Inc. | 520,196 | |||
19,484 | Otter Tail Corp. | 1,578,399 | |||
2,098,595 | |||||
Electrical Equipment — 1.4% | |||||
113,456 | Array Technologies, Inc. (a) | 2,161,337 | |||
13,790 | Encore Wire Corp. | 2,353,815 | |||
77,000 | Fluence Energy, Inc. (a) | 2,251,480 | |||
406,998 | GrafTech International Ltd. | 2,148,949 | |||
40,129 | Shoals Technologies Group, Inc., Class A (a) | 1,041,749 | |||
89,653 | Stem, Inc. (a) (b) | 633,847 | |||
52,331 | SunPower Corp. (a) (b) | 516,507 | |||
9,496 | Vicor Corp. (a) | 876,196 | |||
11,983,880 | |||||
Electronic Equipment, Instruments & Components — 1.5% | |||||
12,029 | CTS Corp. | 536,854 | |||
27,327 | ePlus, Inc. (a) | 1,539,877 | |||
28,394 | Knowles Corp. (a) | 518,758 | |||
61,198 | Methode Electronics, Inc. | 2,058,701 | |||
8,703 | OSI Systems, Inc. (a) | 1,037,659 | |||
10,440 | Plexus Corp. (a) | 1,028,236 | |||
6,333 | Rogers Corp. (a) | 1,067,807 | |||
184,465 | TTM Technologies, Inc. (a) | 2,648,917 | |||
87,216 | Vishay Intertechnology, Inc. | 2,455,130 | |||
12,891,939 | |||||
Energy Equipment & Services — 2.3% | |||||
150,093 | Archrock, Inc. | 1,750,084 | |||
180,063 | Diamond Offshore Drilling, Inc. (a) | 2,850,397 | |||
115,763 | Expro Group Holdings N.V. (a) | 2,568,781 | |||
277,950 | Helix Energy Solutions Group, Inc. (a) | 2,668,320 | |||
153,425 | Liberty Energy, Inc. | 2,526,910 | |||
27,422 | Oceaneering International, Inc. (a) | 615,624 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Energy Equipment & Services (Continued) | |||||
45,950 | ProFrac Holding Corp., Class A (a) | $591,377 | |||
248,943 | ProPetro Holding Corp. (a) | 2,598,965 | |||
143,445 | RPC, Inc. | 1,193,462 | |||
46,251 | Tidewater, Inc. (a) | 2,918,901 | |||
20,282,821 | |||||
Entertainment — 0.8% | |||||
155,400 | Cinemark Holdings, Inc. (a) | 2,593,626 | |||
93,613 | Sphere Entertainment Co. (a) | 3,973,872 | |||
6,567,498 | |||||
Financial Services — 3.0% | |||||
197,617 | AvidXchange Holdings, Inc. (a) | 2,452,427 | |||
25,376 | Cannae Holdings, Inc. (a) | 517,163 | |||
47,286 | Compass Diversified Holdings | 1,065,354 | |||
41,772 | EVERTEC, Inc. | 1,642,893 | |||
14,268 | Federal Agricultural Mortgage Corp., Class C | 2,293,581 | |||
66,082 | Flywire Corp. (a) | 2,256,039 | |||
105,304 | Marqeta, Inc., Class A (a) | 587,596 | |||
80,190 | Merchants Bancorp | 2,534,806 | |||
40,509 | Mr. Cooper Group, Inc. (a) | 2,348,307 | |||
99,306 | NMI Holdings, Inc., Class A (a) | 2,652,463 | |||
106,614 | Payoneer Global, Inc. (a) | 567,186 | |||
29,174 | PennyMac Financial Services, Inc. | 2,194,760 | |||
136,245 | Remitly Global, Inc. (a) | 2,626,804 | |||
25,938 | Walker & Dunlop, Inc. | 2,359,839 | |||
26,099,218 | |||||
Food Products — 1.4% | |||||
11,397 | Cal-Maine Foods, Inc. | 526,428 | |||
99,729 | Fresh Del Monte Produce, Inc. | 2,650,797 | |||
23,379 | Freshpet, Inc. (a) | 1,719,292 | |||
60,758 | Hostess Brands, Inc. (a) | 1,460,622 | |||
9,713 | J & J Snack Foods Corp. | 1,557,188 | |||
131,086 | Sovos Brands, Inc. (a) | 2,333,331 | |||
10,181 | TreeHouse Foods, Inc. (a) | 525,441 | |||
62,691 | Utz Brands, Inc. | 1,050,074 | |||
11,823,173 | |||||
Gas Utilities — 0.2% | |||||
47,650 | Northwest Natural Holding Co. | 2,047,520 | |||
Ground Transportation — 1.5% | |||||
20,759 | ArcBest Corp. | 2,414,687 | |||
156,250 | Heartland Express, Inc. | 2,554,687 | |||
95,406 | Marten Transport Ltd. | 2,161,900 | |||
22,622 | RXO, Inc. (a) | 498,815 |
Shares | Description | Value | |||
Ground Transportation (Continued) | |||||
89,278 | Schneider National, Inc., Class B | $2,750,655 | |||
58,040 | Werner Enterprises, Inc. | 2,729,041 | |||
13,109,785 | |||||
Health Care Equipment & Supplies — 1.7% | |||||
142,609 | Alphatec Holdings, Inc. (a) | 2,519,901 | |||
31,167 | AtriCure, Inc. (a) | 1,725,093 | |||
60,193 | Avanos Medical, Inc. (a) | 1,472,923 | |||
21,607 | Glaukos Corp. (a) | 1,666,764 | |||
11,576 | Integer Holdings Corp. (a) | 1,070,549 | |||
4,916 | iRhythm Technologies, Inc. (a) | 516,475 | |||
23,449 | Outset Medical, Inc. (a) | 482,580 | |||
28,909 | Paragon 28, Inc. (a) | 510,822 | |||
29,012 | PROCEPT BioRobotics Corp. (a) | 999,173 | |||
30,532 | TransMedics Group, Inc. (a) | 2,844,972 | |||
60,141 | Treace Medical Concepts, Inc. (a) | 1,370,613 | |||
15,179,865 | |||||
Health Care Providers & Services — 2.5% | |||||
5,531 | Addus HomeCare Corp. (a) | 506,474 | |||
16,226 | Apollo Medical Holdings, Inc. (a) | 594,358 | |||
7,949 | CorVel Corp. (a) | 1,626,047 | |||
42,973 | Guardant Health, Inc. (a) | 1,676,806 | |||
218,222 | Hims & Hers Health, Inc. (a) | 1,957,451 | |||
280,845 | LifeStance Health Group, Inc. (a) (b) | 2,637,135 | |||
22,685 | ModivCare, Inc. (a) | 992,242 | |||
11,788 | National Research Corp. | 505,823 | |||
80,800 | Owens & Minor, Inc. (a) | 1,554,592 | |||
30,840 | Patterson Cos., Inc. | 1,014,328 | |||
144,356 | Pediatrix Medical Group, Inc. (a) | 1,982,008 | |||
39,279 | Privia Health Group, Inc. (a) | 1,096,670 | |||
65,179 | Progyny, Inc. (a) | 2,721,875 | |||
78,605 | RadNet, Inc. (a) | 2,600,253 | |||
21,466,062 | |||||
Health Care REITs — 0.2% | |||||
19,564 | National Health Investors, Inc. | 1,074,259 | |||
43,569 | Sabra Health Care REIT, Inc. | 565,962 | |||
1,640,221 | |||||
Health Care Technology — 0.8% | |||||
33,850 | Evolent Health, Inc., Class A (a) | 1,028,702 | |||
31,613 | NextGen Healthcare, Inc. (a) | 525,724 | |||
16,538 | Phreesia, Inc. (a) | 524,585 | |||
51,366 | Schrodinger, Inc. (a) | 2,686,956 | |||
162,797 | Veradigm, Inc. (a) | 2,201,015 | |||
6,966,982 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Hotel & Resort REITs — 1.3% | |||||
128,045 | DiamondRock Hospitality Co. | $1,088,383 | |||
200,006 | Park Hotels & Resorts, Inc. | 2,726,082 | |||
110,361 | Pebblebrook Hotel Trust | 1,705,077 | |||
99,868 | RLJ Lodging Trust | 1,028,640 | |||
236,048 | Service Properties Trust | 2,004,048 | |||
152,023 | Sunstone Hotel Investors, Inc. | 1,549,114 | |||
83,318 | Xenia Hotels & Resorts, Inc. | 1,058,139 | |||
11,159,483 | |||||
Hotels, Restaurants & Leisure — 2.6% | |||||
95,355 | Bloomin’ Brands, Inc. | 2,562,189 | |||
44,058 | Bowlero Corp. (a) | 534,424 | |||
56,043 | Brinker International, Inc. (a) | 2,201,369 | |||
59,319 | Cheesecake Factory (The), Inc. | 2,181,753 | |||
11,008 | Cracker Barrel Old Country Store, Inc. | 1,025,946 | |||
57,542 | Dave & Buster’s Entertainment, Inc. (a) | 2,635,424 | |||
35,465 | Everi Holdings, Inc. (a) | 526,301 | |||
26,288 | Jack in the Box, Inc. | 2,613,290 | |||
7,279 | Monarch Casino & Resort, Inc. | 504,580 | |||
6,945 | Papa John’s International, Inc. | 574,351 | |||
188,997 | Playa Hotels & Resorts N.V. (a) | 1,542,215 | |||
21,923 | Red Rock Resorts, Inc., Class A | 1,063,265 | |||
32,989 | Shake Shack, Inc., Class A (a) | 2,561,926 | |||
19,738 | Six Flags Entertainment Corp. (a) | 471,738 | |||
152,852 | Target Hospitality Corp. (a) (b) | 1,951,920 | |||
22,950,691 | |||||
Household Durables — 3.2% | |||||
5,212 | Cavco Industries, Inc. (a) | 1,540,928 | |||
33,466 | Century Communities, Inc. | 2,584,245 | |||
36,112 | Green Brick Partners, Inc. (a) | 2,041,050 | |||
14,240 | Helen of Troy Ltd. (a) | 2,012,112 | |||
18,295 | Installed Building Products, Inc. | 2,708,026 | |||
49,587 | KB Home | 2,676,210 | |||
89,525 | La-Z-Boy, Inc. | 2,808,399 | |||
11,406 | LGI Homes, Inc. (a) | 1,582,583 | |||
54,822 | M.D.C. Holdings, Inc. | 2,811,272 | |||
29,406 | M/I Homes, Inc. (a) | 2,940,600 | |||
23,504 | Skyline Champion Corp. (a) | 1,637,289 | |||
78,030 | Tri Pointe Homes, Inc. (a) | 2,487,596 | |||
27,830,310 | |||||
Household Products — 0.4% | |||||
56,264 | Central Garden & Pet Co., Class A (a) | 2,150,410 | |||
30,543 | Energizer Holdings, Inc. | 1,090,385 | |||
2,720 | WD-40 Co. | 624,240 | |||
3,865,035 |
Shares | Description | Value | |||
Independent Power and Renewable Electricity Producers — 0.2% | |||||
94,966 | Altus Power, Inc. (a) (b) | $646,719 | |||
84,026 | Sunnova Energy International, Inc. (a) (b) | 1,483,899 | |||
2,130,618 | |||||
Industrial REITs — 0.2% | |||||
157,790 | LXP Industrial Trust | 1,588,945 | |||
Insurance — 1.7% | |||||
41,389 | BRP Group, Inc., Class A (a) | 1,031,000 | |||
86,662 | CNO Financial Group, Inc. | 2,228,947 | |||
54,830 | Employers Holdings, Inc. | 2,118,083 | |||
512,818 | Genworth Financial, Inc., Class A (a) | 3,005,113 | |||
17,292 | Horace Mann Educators Corp. | 521,008 | |||
17,673 | Palomar Holdings, Inc. (a) | 1,070,277 | |||
14,303 | Safety Insurance Group, Inc. | 1,029,816 | |||
56,789 | SiriusPoint Ltd. (a) | 530,409 | |||
62,324 | Stewart Information Services Corp. | 2,937,330 | |||
14,471,983 | |||||
Interactive Media & Services — 0.9% | |||||
67,983 | Cargurus, Inc. (a) | 1,540,495 | |||
103,493 | Cars.com, Inc. (a) | 2,360,675 | |||
21,074 | Shutterstock, Inc. | 1,084,257 | |||
31,099 | TripAdvisor, Inc. (a) | 579,996 | |||
14,082 | Yelp, Inc. (a) | 634,394 | |||
86,626 | ZipRecruiter, Inc., Class A (a) | 1,604,314 | |||
7,804,131 | |||||
IT Services — 0.6% | |||||
38,330 | DigitalOcean Holdings, Inc. (a) | 1,898,102 | |||
77,232 | Kyndryl Holdings, Inc. (a) | 1,054,989 | |||
12,305 | Perficient, Inc. (a) | 784,936 | |||
48,780 | Squarespace, Inc., Class A (a) | 1,616,569 | |||
5,354,596 | |||||
Leisure Products — 0.6% | |||||
37,511 | Acushnet Holdings Corp. | 2,236,781 | |||
43,712 | Malibu Boats, Inc., Class A (a) | 2,620,534 | |||
18,533 | Vista Outdoor, Inc. (a) | 561,550 | |||
5,418,865 | |||||
Life Sciences Tools & Services — 0.2% | |||||
115,672 | Pacific Biosciences of California, Inc. (a) | 1,528,027 | |||
Machinery — 2.7% | |||||
5,575 | Alamo Group, Inc. | 1,080,212 | |||
12,157 | Barnes Group, Inc. | 477,770 | |||
36,694 | Energy Recovery, Inc. (a) | 1,118,433 | |||
37,987 | Enerpac Tool Group Corp. | 1,043,883 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Machinery (Continued) | |||||
15,362 | EnPro Industries, Inc. | $2,131,938 | |||
19,791 | ESCO Technologies, Inc. | 1,989,985 | |||
40,044 | Federal Signal Corp. | 2,446,288 | |||
7,757 | Helios Technologies, Inc. | 490,242 | |||
29,999 | Hillenbrand, Inc. | 1,558,148 | |||
56,917 | Hillman Solutions Corp. (a) | 560,063 | |||
4,615 | Kadant, Inc. | 1,028,453 | |||
54,190 | Kennametal, Inc. | 1,651,711 | |||
31,594 | Mueller Water Products, Inc., Class A | 508,348 | |||
46,493 | Shyft Group (The), Inc. | 670,894 | |||
14,502 | Standex International Corp. | 2,154,562 | |||
12,644 | Tennant Co. | 1,014,555 | |||
59,840 | Trinity Industries, Inc. | 1,569,005 | |||
100,005 | Wabash National Corp. | 2,368,118 | |||
23,862,608 | |||||
Marine Transportation — 0.4% | |||||
32,984 | Matson, Inc. | 3,082,685 | |||
Media — 0.7% | |||||
169,808 | Altice USA, Inc., Class A (a) | 575,649 | |||
30,139 | John Wiley & Sons, Inc., Class A | 1,031,658 | |||
150,277 | Magnite, Inc. (a) | 2,273,691 | |||
52,747 | Scholastic Corp. | 2,278,143 | |||
6,159,141 | |||||
Metals & Mining — 1.4% | |||||
15,599 | Alpha Metallurgical Resources, Inc. | 2,702,059 | |||
9,134 | Carpenter Technology Corp. | 546,761 | |||
7,157 | Kaiser Aluminum Corp. | 581,148 | |||
13,469 | Materion Corp. | 1,604,697 | |||
59,107 | Ryerson Holding Corp. | 2,511,456 | |||
65,830 | Warrior Met Coal, Inc. | 2,912,978 | |||
22,143 | Worthington Industries, Inc. | 1,652,311 | |||
12,511,410 | |||||
Mortgage REITs — 1.7% | |||||
181,209 | Apollo Commercial Real Estate Finance, Inc. | 2,138,266 | |||
138,415 | Arbor Realty Trust, Inc. (b) | 2,340,598 | |||
135,668 | Claros Mortgage Trust, Inc. | 1,671,430 | |||
108,651 | Franklin BSP Realty Trust, Inc. | 1,553,709 | |||
20,512 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 535,568 | |||
189,059 | Ladder Capital Corp. | 2,077,758 | |||
91,247 | MFA Financial, Inc. | 1,027,441 | |||
103,392 | New York Mortgage Trust, Inc. | 1,049,429 |
Shares | Description | Value | |||
Mortgage REITs (Continued) | |||||
38,042 | PennyMac Mortgage Investment Trust | $486,177 | |||
136,386 | Ready Capital Corp. | 1,577,986 | |||
14,458,362 | |||||
Multi-Utilities — 0.4% | |||||
39,177 | Avista Corp. | 1,513,799 | |||
36,137 | NorthWestern Corp. | 2,040,657 | |||
3,554,456 | |||||
Office REITs — 2.3% | |||||
163,186 | Douglas Emmett, Inc. | 2,398,834 | |||
70,733 | Easterly Government Properties, Inc. | 1,044,019 | |||
50,624 | Equity Commonwealth | 991,724 | |||
107,237 | Highwoods Properties, Inc. | 2,709,879 | |||
607,603 | Hudson Pacific Properties, Inc. | 3,566,630 | |||
170,482 | JBG SMITH Properties | 2,852,164 | |||
463,039 | Paramount Group, Inc. | 2,426,324 | |||
352,693 | Piedmont Office Realty Trust, Inc., Class A | 2,624,036 | |||
34,130 | SL Green Realty Corp. (b) | 1,287,042 | |||
19,900,652 | |||||
Oil, Gas & Consumable Fuels — 5.2% | |||||
22,737 | Arch Resources, Inc. | 2,920,340 | |||
56,613 | California Resources Corp. | 3,020,303 | |||
73,113 | Callon Petroleum Co. (a) | 2,746,124 | |||
144,704 | CNX Resources Corp. (a) | 2,951,962 | |||
132,624 | Comstock Resources, Inc. | 1,690,956 | |||
37,813 | CONSOL Energy, Inc. | 2,817,825 | |||
34,235 | CVR Energy, Inc. | 1,257,794 | |||
107,057 | Delek US Holdings, Inc. | 2,953,703 | |||
143,548 | Earthstone Energy, Inc., Class A (a) | 2,293,897 | |||
214,567 | Equitrans Midstream Corp. | 2,225,060 | |||
47,718 | Green Plains, Inc. (a) | 1,694,466 | |||
24,404 | Gulfport Energy Corp. (a) | 2,500,190 | |||
53,640 | International Seaways, Inc. | 2,300,620 | |||
43,779 | Kinetik Holdings, Inc. | 1,576,044 | |||
74,710 | Northern Oil and Gas, Inc. | 2,941,333 | |||
96,357 | Par Pacific Holdings, Inc. (a) | 3,033,318 | |||
233,953 | Permian Resources Corp. | 2,734,910 | |||
39,041 | Sitio Royalties Corp., Class A (b) | 1,067,381 | |||
123,987 | World Kinect Corp. | 2,794,667 | |||
45,520,893 | |||||
Paper & Forest Products — 0.3% | |||||
50,709 | Sylvamo Corp. | 2,488,291 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Passenger Airlines — 0.2% | |||||
8,121 | Allegiant Travel Co. (a) | $1,004,568 | |||
115,763 | JetBlue Airways Corp. (a) | 899,478 | |||
1,904,046 | |||||
Personal Care Products — 1.0% | |||||
37,241 | Edgewell Personal Care Co. | 1,467,668 | |||
22,447 | elf Beauty, Inc. (a) | 2,620,014 | |||
77,463 | Herbalife Ltd. (a) | 1,257,999 | |||
16,695 | Medifast, Inc. | 1,701,054 | |||
46,337 | Nu Skin Enterprises, Inc., Class A | 1,361,844 | |||
8,408,579 | |||||
Pharmaceuticals — 0.9% | |||||
44,613 | Amphastar Pharmaceuticals, Inc. (a) | 2,707,563 | |||
23,048 | Corcept Therapeutics, Inc. (a) | 587,263 | |||
14,224 | Ligand Pharmaceuticals, Inc. (a) | 952,012 | |||
10,059 | Reata Pharmaceuticals, Inc., Class A (a) | 1,665,569 | |||
40,525 | Revance Therapeutics, Inc. (a) | 957,606 | |||
34,119 | Supernus Pharmaceuticals, Inc. (a) | 1,047,112 | |||
7,917,125 | |||||
Professional Services — 1.3% | |||||
38,497 | CBIZ, Inc. (a) | 2,036,106 | |||
9,722 | CSG Systems International, Inc. | 501,558 | |||
66,558 | First Advantage Corp. (a) | 998,370 | |||
24,160 | Huron Consulting Group, Inc. (a) | 2,284,811 | |||
4,123 | ICF International, Inc. | 484,824 | |||
8,187 | Kforce, Inc. | 519,383 | |||
10,354 | Korn Ferry | 545,449 | |||
4,633 | NV5 Global, Inc. (a) | 507,545 | |||
45,464 | TTEC Holdings, Inc. | 1,565,780 | |||
104,020 | Verra Mobility Corp. (a) | 2,183,380 | |||
11,627,206 | |||||
Real Estate Management & Development — 1.2% | |||||
69,724 | DigitalBridge Group, Inc. | 1,116,978 | |||
31,401 | Kennedy-Wilson Holdings, Inc. | 518,117 | |||
48,825 | Marcus & Millichap, Inc. | 1,790,901 | |||
412,236 | Newmark Group, Inc., Class A | 2,852,673 | |||
637,835 | Opendoor Technologies, Inc. (a) | 3,259,337 | |||
10,609 | St. Joe (The) Co. | 673,459 | |||
10,211,465 | |||||
Residential REITs — 0.3% | |||||
120,379 | Apartment Investment and Management Co., Class A | 1,002,757 | |||
31,191 | Elme Communities | 506,854 |
Shares | Description | Value | |||
Residential REITs (Continued) | |||||
11,274 | NexPoint Residential Trust, Inc. | $468,547 | |||
31,950 | Veris Residential, Inc. (a) | 596,826 | |||
2,574,984 | |||||
Retail REITs — 0.7% | |||||
71,276 | Acadia Realty Trust | 1,119,746 | |||
66,482 | InvenTrust Properties Corp. | 1,618,172 | |||
45,503 | Macerich (The) Co. | 580,163 | |||
37,960 | Retail Opportunity Investments Corp. | 559,151 | |||
38,791 | SITE Centers Corp. | 545,014 | |||
46,473 | Tanger Factory Outlet Centers, Inc. | 1,087,933 | |||
33,237 | Urban Edge Properties | 565,361 | |||
6,075,540 | |||||
Semiconductors & Semiconductor Equipment — 0.8% | |||||
37,019 | Cohu, Inc. (a) | 1,615,879 | |||
147,874 | Credo Technology Group Holding Ltd. (a) | 2,509,422 | |||
5,720 | Impinj, Inc. (a) | 381,066 | |||
45,483 | PDF Solutions, Inc. (a) | 2,091,763 | |||
13,336 | Ultra Clean Holdings, Inc. (a) | 508,102 | |||
7,106,232 | |||||
Software — 4.6% | |||||
44,267 | ACI Worldwide, Inc. (a) | 1,026,552 | |||
9,921 | Alarm.com Holdings, Inc. (a) | 547,738 | |||
93,863 | Alkami Technology, Inc. (a) | 1,584,407 | |||
13,526 | Altair Engineering, Inc., Class A (a) | 1,013,638 | |||
14,898 | Appfolio, Inc., Class A (a) | 2,690,430 | |||
32,320 | Appian Corp., Class A (a) | 1,665,126 | |||
69,801 | Asana, Inc., Class A (a) | 1,694,768 | |||
14,408 | Blackbaud, Inc. (a) | 1,087,084 | |||
46,845 | Braze, Inc., Class A (a) | 2,129,574 | |||
22,131 | Clear Secure, Inc., Class A | 524,726 | |||
14,125 | CommVault Systems, Inc. (a) | 1,100,761 | |||
33,086 | Consensus Cloud Solutions, Inc. (a) | 1,072,317 | |||
165,785 | Digital Turbine, Inc. (a) | 1,797,109 | |||
87,510 | Freshworks, Inc., Class A (a) | 1,632,937 | |||
36,707 | Intapp, Inc. (a) | 1,507,189 | |||
10,623 | InterDigital, Inc. | 984,646 | |||
73,961 | MeridianLink, Inc. (a) | 1,652,289 | |||
4,494 | MicroStrategy, Inc., Class A (a) | 1,967,833 | |||
14,505 | Model N, Inc. (a) | 483,307 | |||
106,763 | N-able, Inc. (a) | 1,502,155 | |||
51,076 | nCino, Inc. (a) | 1,652,309 | |||
17,655 | Progress Software Corp. | 1,060,359 | |||
33,300 | PROS Holdings, Inc. (a) | 1,265,400 | |||
33,189 | Q2 Holdings, Inc. (a) | 1,177,214 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
11,322 | Rapid7, Inc. (a) | $519,793 | |||
15,671 | RingCentral, Inc., Class A (a) | 648,153 | |||
92,535 | Samsara, Inc., Class A (a) | 2,585,428 | |||
148,321 | Sprinklr, Inc., Class A (a) | 2,082,427 | |||
19,244 | Varonis Systems, Inc. (a) | 552,303 | |||
120,100 | Zeta Global Holdings Corp., Class A (a) | 1,107,322 | |||
40,315,294 | |||||
Specialized REITs — 0.4% | |||||
32,874 | EPR Properties | 1,467,495 | |||
32,624 | Outfront Media, Inc. | 504,367 | |||
221,999 | Uniti Group, Inc. | 1,238,755 | |||
3,210,617 | |||||
Specialty Retail — 2.3% | |||||
13,609 | Abercrombie & Fitch Co., Class A (a) | 539,053 | |||
173,834 | American Eagle Outfitters, Inc. | 2,442,368 | |||
24,221 | Boot Barn Holdings, Inc. (a) | 2,274,352 | |||
14,820 | Buckle (The), Inc. | 541,819 | |||
9,932 | Group 1 Automotive, Inc. | 2,567,720 | |||
105,462 | Guess?, Inc. | 2,213,647 | |||
21,111 | National Vision Holdings, Inc. (a) | 456,631 | |||
43,810 | ODP (The) Corp. (a) | 2,185,243 | |||
62,536 | Revolve Group, Inc. (a) | 1,233,210 | |||
124,569 | Sally Beauty Holdings, Inc. (a) | 1,491,091 | |||
21,514 | Sonic Automotive, Inc., Class A | 1,030,305 | |||
32,946 | Upbound Group, Inc. | 1,140,920 | |||
61,914 | Urban Outfitters, Inc. (a) | 2,251,812 | |||
20,368,171 | |||||
Technology Hardware, Storage & Peripherals — 0.1% | |||||
34,442 | Xerox Holdings Corp. | 550,383 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||||
14,129 | Carter’s, Inc. | 1,059,816 | |||
24,364 | Kontoor Brands, Inc. | 1,032,059 | |||
106,614 | Levi Strauss & Co., Class A | 1,606,673 | |||
10,421 | Oxford Industries, Inc. | 1,123,905 | |||
47,062 | Steven Madden Ltd. | 1,570,930 | |||
6,393,383 | |||||
Tobacco — 0.4% | |||||
51,345 | Universal Corp. | 2,596,517 | |||
80,063 | Vector Group Ltd. | 1,050,426 | |||
3,646,943 | |||||
Trading Companies & Distributors — 2.4% | |||||
28,379 | Boise Cascade Co. | 2,936,943 |
Shares | Description | Value | |||
Trading Companies & Distributors (Continued) | |||||
228,260 | Custom Truck One Source, Inc. (a) | $1,579,559 | |||
80,988 | FTAI Aviation Ltd. | 2,608,623 | |||
37,053 | GMS, Inc. (a) | 2,730,435 | |||
33,629 | H&E Equipment Services, Inc. | 1,633,697 | |||
5,544 | McGrath RentCorp | 534,331 | |||
247,497 | NOW, Inc. (a) | 2,818,991 | |||
42,212 | Rush Enterprises, Inc., Class A | 2,730,272 | |||
20,415 | Veritiv Corp. | 2,860,754 | |||
24,213 | Xometry, Inc., Class A (a) | 502,662 | |||
20,936,267 | |||||
Water Utilities — 0.1% | |||||
9,930 | California Water Service Group | 526,489 | |||
6,356 | Middlesex Water Co. | 511,149 | |||
1,037,638 | |||||
Wireless Telecommunication Services — 0.6% | |||||
30,148 | Gogo, Inc. (a) | 454,331 | |||
311,552 | Telephone and Data Systems, Inc. | 2,498,647 | |||
145,437 | United States Cellular Corp. (a) | 2,575,689 | |||
5,528,667 | |||||
Total Common Stocks | 871,812,812 | ||||
(Cost $769,172,568) | |||||
MONEY MARKET FUNDS — 0.3% | |||||
1,291,263 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | 1,291,263 | |||
1,162,486 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (d) | 1,162,486 | |||
Total Money Market Funds | 2,453,749 | ||||
(Cost $2,453,749) |
Portfolio of Investments (Continued)
July 31, 2023
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 1.4% | |||||
$12,766,413 | BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $12,768,271. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $13,022,026. (e) | $12,766,413 | |||
(Cost $12,766,413) | |||||
Total Investments — 101.6% | 887,032,974 | ||||
(Cost $784,392,730) | |||||
Net Other Assets and Liabilities — (1.6)% | (14,330,056 ) | ||||
Net Assets — 100.0% | $872,702,918 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $13,791,293 and the total value of the collateral held by the Fund is $14,057,676. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
(d) | Rate shown reflects yield as of July 31, 2023. |
(e) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $871,812,812 | $871,812,812 | $— | $— |
Money Market Funds | 2,453,749 | 2,453,749 | — | — |
Repurchase Agreements | 12,766,413 | — | 12,766,413 | — |
Total Investments | $887,032,974 | $874,266,561 | $12,766,413 | $— |
* | See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $13,791,293 |
Non-cash Collateral(2) | (13,791,293 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $12,766,413 |
Non-cash Collateral(4) | (12,766,413 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 2.4% | |||||
29,076 | General Dynamics Corp. | $6,500,812 | |||
10,629 | L3Harris Technologies, Inc. | 2,014,089 | |||
4,520 | Lockheed Martin Corp. | 2,017,593 | |||
13,724 | Northrop Grumman Corp. | 6,107,180 | |||
43,635 | RTX Corp. | 3,836,826 | |||
126,664 | Textron, Inc. | 9,850,659 | |||
30,327,159 | |||||
Air Freight & Logistics — 1.3% | |||||
51,644 | Expeditors International of Washington, Inc. | 6,574,281 | |||
34,555 | FedEx Corp. | 9,328,122 | |||
15,902,403 | |||||
Automobiles — 1.4% | |||||
566,181 | Ford Motor Co. | 7,479,251 | |||
277,694 | General Motors Co. | 10,655,119 | |||
18,134,370 | |||||
Banks — 11.1% | |||||
298,582 | Bank of America Corp. | 9,554,624 | |||
232,578 | Citigroup, Inc. | 11,084,667 | |||
410,578 | Citizens Financial Group, Inc. | 13,245,246 | |||
326,834 | Fifth Third Bancorp | 9,510,869 | |||
993,311 | Huntington Bancshares, Inc. | 12,158,127 | |||
43,012 | JPMorgan Chase & Co. | 6,794,176 | |||
1,158,864 | KeyCorp | 14,265,616 | |||
69,217 | M&T Bank Corp. | 9,680,690 | |||
68,014 | PNC Financial Services Group (The), Inc. | 9,310,436 | |||
600,892 | Regions Financial Corp. | 12,240,170 | |||
352,814 | Truist Financial Corp. | 11,720,481 | |||
259,271 | U.S. Bancorp | 10,287,873 | |||
200,710 | Wells Fargo & Co. | 9,264,774 | |||
139,117,749 | |||||
Beverages — 0.2% | |||||
66,551 | Keurig Dr Pepper, Inc. | 2,263,400 | |||
Biotechnology — 0.6% | |||||
30,073 | Biogen, Inc. (a) | 8,125,424 | |||
Building Products — 0.4% | |||||
86,163 | Carrier Global Corp. | 5,131,007 | |||
Capital Markets — 4.5% | |||||
192,415 | Bank of New York Mellon (The) Corp. | 8,727,944 | |||
3,012 | BlackRock, Inc. | 2,225,416 | |||
195,795 | Carlyle Group (The), Inc. | 6,980,092 | |||
320,716 | Franklin Resources, Inc. | 9,377,736 | |||
26,559 | Goldman Sachs Group (The), Inc. | 9,451,551 | |||
50,154 | Morgan Stanley | 4,592,100 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
117,058 | State Street Corp. | $8,479,682 | |||
55,844 | T. Rowe Price Group, Inc. | 6,883,332 | |||
56,717,853 | |||||
Chemicals — 6.5% | |||||
92,469 | Celanese Corp. | 11,594,688 | |||
74,599 | Corteva, Inc. | 4,209,622 | |||
201,050 | Dow, Inc. | 11,353,293 | |||
149,887 | DuPont de Nemours, Inc. | 11,635,728 | |||
40,968 | FMC Corp. | 3,942,351 | |||
116,605 | LyondellBasell Industries N.V., Class A | 11,527,570 | |||
305,940 | Mosaic (The) Co. | 12,470,114 | |||
14,034 | PPG Industries, Inc. | 2,019,493 | |||
89,628 | Westlake Corp. | 12,323,850 | |||
81,076,709 | |||||
Communications Equipment — 0.3% | |||||
82,617 | Cisco Systems, Inc. | 4,299,389 | |||
Construction Materials — 0.2% | |||||
4,507 | Martin Marietta Materials, Inc. | 2,012,195 | |||
Consumer Finance — 2.4% | |||||
97,905 | Capital One Financial Corp. | 11,456,843 | |||
73,310 | Discover Financial Services | 7,737,870 | |||
315,681 | Synchrony Financial | 10,903,622 | |||
30,098,335 | |||||
Consumer Staples Distribution & Retail — 1.8% | |||||
25,176 | Dollar General Corp. | 4,251,219 | |||
29,848 | Dollar Tree, Inc. (a) | 4,606,442 | |||
182,262 | Kroger (The) Co. | 8,865,224 | |||
32,409 | Target Corp. | 4,422,856 | |||
22,145,741 | |||||
Containers & Packaging — 2.3% | |||||
24,932 | Avery Dennison Corp. | 4,587,737 | |||
336,620 | International Paper Co. | 12,138,517 | |||
81,022 | Packaging Corp. of America | 12,424,724 | |||
29,150,978 | |||||
Distributors — 0.8% | |||||
147,010 | LKQ Corp. | 8,054,678 | |||
5,554 | Pool Corp. | 2,136,846 | |||
10,191,524 | |||||
Diversified Telecommunication Services — 1.1% | |||||
268,001 | AT&T, Inc. | 3,891,374 | |||
287,924 | Verizon Communications, Inc. | 9,812,450 | |||
13,703,824 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Electric Utilities — 6.8% | |||||
119,201 | Alliant Energy Corp. | $6,405,862 | |||
74,296 | American Electric Power Co., Inc. | 6,295,843 | |||
69,709 | Duke Energy Corp. | 6,526,157 | |||
90,074 | Edison International | 6,481,725 | |||
87,977 | Entergy Corp. | 9,035,238 | |||
183,292 | Evergy, Inc. | 10,992,021 | |||
120,788 | Eversource Energy | 8,736,596 | |||
210,268 | Exelon Corp. | 8,801,818 | |||
323,746 | PPL Corp. | 8,912,727 | |||
60,849 | Southern (The) Co. | 4,401,817 | |||
137,788 | Xcel Energy, Inc. | 8,643,441 | |||
85,233,245 | |||||
Electrical Equipment — 0.3% | |||||
23,022 | Emerson Electric Co. | 2,103,060 | |||
6,316 | Rockwell Automation, Inc. | 2,124,007 | |||
4,227,067 | |||||
Electronic Equipment, Instruments & Components — 0.8% | |||||
11,341 | CDW Corp. | 2,121,561 | |||
121,992 | Corning, Inc. | 4,140,408 | |||
80,745 | Trimble, Inc. (a) | 4,344,081 | |||
10,606,050 | |||||
Entertainment — 0.5% | |||||
9,705 | Netflix, Inc. (a) | 4,260,204 | |||
23,310 | Walt Disney (The) Co. (a) | 2,072,026 | |||
6,332,230 | |||||
Financial Services — 1.3% | |||||
606,336 | Corebridge Financial, Inc. | 11,344,547 | |||
8,289 | FleetCor Technologies, Inc. (a) | 2,063,215 | |||
21,124 | Global Payments, Inc. | 2,328,921 | |||
15,736,683 | |||||
Food Products — 5.3% | |||||
141,714 | Archer-Daniels-Midland Co. | 12,040,021 | |||
113,491 | Bunge Ltd. | 12,333,067 | |||
93,515 | Campbell Soup Co. | 4,284,857 | |||
185,518 | Conagra Brands, Inc. | 6,086,846 | |||
55,730 | General Mills, Inc. | 4,165,260 | |||
106,279 | Hormel Foods Corp. | 4,344,686 | |||
241,305 | Kraft Heinz (The) Co. | 8,730,415 | |||
28,531 | Mondelez International, Inc., Class A | 2,115,003 | |||
209,794 | Tyson Foods, Inc., Class A | 11,689,722 | |||
65,789,877 | |||||
Gas Utilities — 0.5% | |||||
53,770 | Atmos Energy Corp. | 6,544,347 |
Shares | Description | Value | |||
Ground Transportation — 1.5% | |||||
34,555 | J.B. Hunt Transport Services, Inc. | $7,047,147 | |||
193,563 | U-Haul Holding Co. | 11,780,244 | |||
18,827,391 | |||||
Health Care Equipment & Supplies — 0.7% | |||||
52,793 | Hologic, Inc. (a) | 4,192,820 | |||
48,522 | Medtronic PLC | 4,258,291 | |||
8,451,111 | |||||
Health Care Providers & Services — 4.1% | |||||
92,746 | Centene Corp. (a) | 6,315,075 | |||
30,529 | Cigna Group (The) | 9,009,108 | |||
90,491 | CVS Health Corp. | 6,758,773 | |||
14,080 | Elevance Health, Inc. | 6,640,550 | |||
9,579 | Humana, Inc. | 4,375,975 | |||
25,922 | Laboratory Corp. of America Holdings | 5,545,493 | |||
4,870 | McKesson Corp. | 1,959,688 | |||
6,910 | Molina Healthcare, Inc. (a) | 2,104,026 | |||
44,505 | Quest Diagnostics, Inc. | 6,017,521 | |||
4,330 | UnitedHealth Group, Inc. | 2,192,582 | |||
50,918,791 | |||||
Health Care REITs — 0.3% | |||||
90,429 | Ventas, Inc. | 4,387,615 | |||
Household Durables — 3.7% | |||||
87,993 | D.R. Horton, Inc. | 11,176,871 | |||
59,984 | Garmin Ltd. | 6,351,706 | |||
85,452 | Lennar Corp., Class A | 10,837,877 | |||
985 | NVR, Inc. (a) | 6,211,843 | |||
137,846 | PulteGroup, Inc. | 11,632,824 | |||
46,211,121 | |||||
Household Products — 0.3% | |||||
15,074 | Kimberly-Clark Corp. | 1,946,054 | |||
13,714 | Procter & Gamble (The) Co. | 2,143,498 | |||
4,089,552 | |||||
Industrial Conglomerates — 1.1% | |||||
85,586 | 3M Co. | 9,542,839 | |||
38,914 | General Electric Co. | 4,445,535 | |||
13,988,374 | |||||
Insurance — 5.6% | |||||
89,622 | Aflac, Inc. | 6,483,255 | |||
186,094 | American International Group, Inc. | 11,217,746 | |||
83,576 | Arch Capital Group Ltd. (a) | 6,493,019 | |||
30,230 | Brown & Brown, Inc. | 2,129,704 | |||
32,487 | Chubb Ltd. | 6,640,668 | |||
6,088 | Everest Group Ltd. | 2,194,785 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance (Continued) | |||||
118,943 | Hartford Financial Services Group (The), Inc. | $8,549,623 | |||
144,262 | Loews Corp. | 9,038,014 | |||
36,815 | MetLife, Inc. | 2,318,241 | |||
112,953 | Principal Financial Group, Inc. | 9,021,556 | |||
36,022 | Travelers (The) Cos., Inc. | 6,217,757 | |||
70,304,368 | |||||
Interactive Media & Services — 0.4% | |||||
17,386 | Alphabet, Inc., Class A (a) | 2,307,470 | |||
7,252 | Meta Platforms, Inc., Class A (a) | 2,310,487 | |||
4,617,957 | |||||
IT Services — 1.2% | |||||
6,743 | Accenture PLC, Class A | 2,133,148 | |||
47,660 | Akamai Technologies, Inc. (a) | 4,503,870 | |||
131,225 | Cognizant Technology Solutions Corp., Class A | 8,664,787 | |||
15,301,805 | |||||
Life Sciences Tools & Services — 1.4% | |||||
20,332 | Charles River Laboratories International, Inc. (a) | 4,260,367 | |||
90,142 | Revvity, Inc. | 11,082,959 | |||
5,442 | West Pharmaceutical Services, Inc. | 2,002,874 | |||
17,346,200 | |||||
Machinery — 3.3% | |||||
34,942 | Cummins, Inc. | 9,112,874 | |||
28,952 | Dover Corp. | 4,226,123 | |||
27,834 | Fortive Corp. | 2,180,794 | |||
102,407 | PACCAR, Inc. | 8,820,315 | |||
21,707 | Snap-on, Inc. | 5,913,855 | |||
66,755 | Stanley Black & Decker, Inc. | 6,626,769 | |||
39,055 | Westinghouse Air Brake Technologies Corp. | 4,625,674 | |||
41,506,404 | |||||
Media — 2.4% | |||||
17,029 | Charter Communications, Inc., Class A (a) | 6,899,981 | |||
150,557 | Comcast Corp., Class A | 6,814,210 | |||
251,951 | Fox Corp., Class A | 8,427,761 | |||
110,800 | Interpublic Group of (The) Cos., Inc. | 3,792,684 | |||
21,873 | Omnicom Group, Inc. | 1,850,893 | |||
130,803 | Paramount Global, Class B | 2,096,772 | |||
29,882,301 | |||||
Metals & Mining — 0.2% | |||||
48,783 | Newmont Corp. | 2,093,766 |
Shares | Description | Value | |||
Multi-Utilities — 5.1% | |||||
76,597 | Ameren Corp. | $6,562,065 | |||
214,602 | CenterPoint Energy, Inc. | 6,457,374 | |||
72,761 | CMS Energy Corp. | 4,443,514 | |||
118,450 | Consolidated Edison, Inc. | 11,236,167 | |||
120,789 | Dominion Energy, Inc. | 6,468,251 | |||
56,859 | DTE Energy Co. | 6,498,984 | |||
136,821 | Public Service Enterprise Group, Inc. | 8,636,141 | |||
58,838 | Sempra | 8,768,039 | |||
48,444 | WEC Energy Group, Inc. | 4,353,178 | |||
63,423,713 | |||||
Office REITs — 0.8% | |||||
75,481 | Alexandria Real Estate Equities, Inc. | 9,486,452 | |||
Oil, Gas & Consumable Fuels — 4.9% | |||||
465,157 | Marathon Oil Corp. | 12,219,675 | |||
91,834 | Marathon Petroleum Corp. | 12,215,759 | |||
281,268 | Ovintiv, Inc. | 12,963,642 | |||
112,266 | Phillips 66 | 12,523,272 | |||
91,286 | Valero Energy Corp. | 11,767,678 | |||
61,690,026 | |||||
Passenger Airlines — 1.0% | |||||
118,050 | Southwest Airlines Co. | 4,032,588 | |||
156,121 | United Airlines Holdings, Inc. (a) | 8,478,931 | |||
12,511,519 | |||||
Pharmaceuticals — 0.9% | |||||
1,072,935 | Viatris, Inc. | 11,298,006 | |||
Professional Services — 1.4% | |||||
52,617 | Jacobs Solutions, Inc. | 6,598,698 | |||
70,701 | Leidos Holdings, Inc. | 6,612,665 | |||
70,538 | SS&C Technologies Holdings, Inc. | 4,108,838 | |||
17,320,201 | |||||
Real Estate Management & Development — 0.4% | |||||
52,962 | CBRE Group, Inc., Class A (a) | 4,412,264 | |||
Residential REITs — 0.9% | |||||
22,586 | AvalonBay Communities, Inc. | 4,260,849 | |||
64,797 | Equity Residential | 4,272,714 | |||
8,882 | Essex Property Trust, Inc. | 2,163,211 | |||
10,696,774 | |||||
Retail REITs — 0.2% | |||||
105,532 | Kimco Realty Corp. | 2,138,078 | |||
Semiconductors & Semiconductor Equipment — 1.8% | |||||
62,233 | Intel Corp. | 2,226,074 | |||
32,974 | Micron Technology, Inc. | 2,354,014 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Semiconductors & Semiconductor Equipment (Continued) | |||||
52,551 | QUALCOMM, Inc. | $6,945,666 | |||
77,391 | Skyworks Solutions, Inc. | 8,851,209 | |||
18,691 | Teradyne, Inc. | 2,110,961 | |||
22,487,924 | |||||
Specialized REITs — 0.7% | |||||
18,277 | Digital Realty Trust, Inc. | 2,277,680 | |||
186,680 | Weyerhaeuser Co. | 6,358,321 | |||
8,636,001 | |||||
Specialty Retail — 0.8% | |||||
76,335 | Best Buy Co., Inc. | 6,339,622 | |||
9,220 | Lowe’s Cos., Inc. | 2,159,969 | |||
9,414 | Tractor Supply Co. | 2,108,642 | |||
10,608,233 | |||||
Technology Hardware, Storage & Peripherals — 1.8% | |||||
637,375 | Hewlett Packard Enterprise Co. | 11,077,577 | |||
139,471 | HP, Inc. | 4,578,833 | |||
81,881 | NetApp, Inc. | 6,387,537 | |||
22,043,947 | |||||
Wireless Telecommunication Services — 0.3% | |||||
30,776 | T-Mobile US, Inc. (a) | 4,240,010 | |||
Total Common Stocks | 1,251,787,463 | ||||
(Cost $1,157,709,464) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
2,507,356 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 2,507,356 | |||
(Cost $2,507,356) | |||||
Total Investments — 100.2% | 1,254,294,819 | ||||
(Cost $1,160,216,820) | |||||
Net Other Assets and Liabilities — (0.2)% | (1,897,170 ) | ||||
Net Assets — 100.0% | $1,252,397,649 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,251,787,463 | $1,251,787,463 | $— | $— |
Money Market Funds | 2,507,356 | 2,507,356 | — | — |
Total Investments | $1,254,294,819 | $1,254,294,819 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 3.6% | |||||
27,064 | Axon Enterprise, Inc. (a) | $5,032,010 | |||
34,245 | Boeing (The) Co. (a) | 8,179,418 | |||
29,844 | HEICO Corp. | 5,251,947 | |||
182,387 | Howmet Aerospace, Inc. | 9,327,271 | |||
10,109 | TransDigm Group, Inc. | 9,095,269 | |||
36,885,915 | |||||
Automobiles — 1.2% | |||||
105,657 | Rivian Automotive, Inc., Class A (a) | 2,920,360 | |||
34,531 | Tesla, Inc. (a) | 9,234,625 | |||
12,154,985 | |||||
Beverages — 0.7% | |||||
62,947 | Monster Beverage Corp. (a) | 3,618,823 | |||
19,521 | PepsiCo, Inc. | 3,659,407 | |||
7,278,230 | |||||
Biotechnology — 0.5% | |||||
15,006 | Vertex Pharmaceuticals, Inc. (a) | 5,287,214 | |||
Building Products — 1.5% | |||||
28,189 | Carlisle Cos., Inc. | 7,813,991 | |||
37,809 | Trane Technologies PLC | 7,540,627 | |||
15,354,618 | |||||
Capital Markets — 4.1% | |||||
15,898 | Ameriprise Financial, Inc. | 5,539,658 | |||
54,807 | Ares Management Corp., Class A | 5,437,951 | |||
18,933 | Blackstone, Inc. | 1,983,989 | |||
31,055 | Charles Schwab (The) Corp. | 2,052,736 | |||
4,394 | FactSet Research Systems, Inc. | 1,911,566 | |||
31,433 | KKR & Co., Inc. | 1,866,492 | |||
24,287 | LPL Financial Holdings, Inc. | 5,570,466 | |||
10,399 | Moody’s Corp. | 3,668,247 | |||
23,742 | Northern Trust Corp. | 1,902,209 | |||
50,888 | Raymond James Financial, Inc. | 5,601,242 | |||
18,038 | S&P Global, Inc. | 7,116,171 | |||
42,650,727 | |||||
Chemicals — 1.7% | |||||
12,071 | Air Products and Chemicals, Inc. | 3,685,638 | |||
23,671 | Albemarle Corp. | 5,024,880 | |||
25,356 | CF Industries Holdings, Inc. | 2,081,220 | |||
38,734 | Ecolab, Inc. | 7,093,745 | |||
17,885,483 | |||||
Commercial Services & Supplies — 2.7% | |||||
10,623 | Cintas Corp. | 5,333,171 | |||
79,282 | Copart, Inc. (a) | 7,007,736 | |||
47,211 | Republic Services, Inc. | 7,134,054 |
Shares | Description | Value | |||
Commercial Services & Supplies (Continued) | |||||
123,295 | Rollins, Inc. | $5,034,135 | |||
20,849 | Waste Management, Inc. | 3,414,858 | |||
27,923,954 | |||||
Communications Equipment — 1.2% | |||||
44,621 | Arista Networks, Inc. (a) | 6,920,271 | |||
18,006 | Motorola Solutions, Inc. | 5,161,060 | |||
12,081,331 | |||||
Construction & Engineering — 0.9% | |||||
46,012 | Quanta Services, Inc. | 9,276,939 | |||
Consumer Staples Distribution & Retail — 0.2% | |||||
23,723 | Sysco Corp. | 1,810,302 | |||
Distributors — 0.5% | |||||
31,205 | Genuine Parts Co. | 4,859,243 | |||
Electric Utilities — 1.6% | |||||
98,734 | Constellation Energy Corp. | 9,542,641 | |||
418,477 | PG&E Corp. (a) | 7,369,380 | |||
16,912,021 | |||||
Electrical Equipment — 2.2% | |||||
32,622 | AMETEK, Inc. | 5,173,849 | |||
44,949 | Eaton Corp. PLC | 9,228,929 | |||
27,263 | Hubbell, Inc. | 8,506,056 | |||
22,908,834 | |||||
Electronic Equipment, Instruments & Components — 1.4% | |||||
62,163 | Amphenol Corp., Class A | 5,489,615 | |||
10,512 | Keysight Technologies, Inc. (a) | 1,693,273 | |||
37,676 | TE Connectivity Ltd. | 5,406,129 | |||
4,281 | Teledyne Technologies, Inc. (a) | 1,646,173 | |||
14,235,190 | |||||
Energy Equipment & Services — 1.2% | |||||
160,071 | Halliburton Co. | 6,255,575 | |||
107,507 | Schlumberger Ltd. | 6,271,958 | |||
12,527,533 | |||||
Entertainment — 1.2% | |||||
23,782 | Liberty Media Corp.-Liberty Formula One, Class C (a) | 1,726,573 | |||
99,211 | Live Nation Entertainment, Inc. (a) | 8,705,765 | |||
43,678 | ROBLOX Corp., Class A (a) | 1,714,362 | |||
12,146,700 | |||||
Financial Services — 2.3% | |||||
117,682 | Apollo Global Management, Inc. | 9,615,796 | |||
57,323 | Fiserv, Inc. (a) | 7,234,736 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Financial Services (Continued) | |||||
9,193 | Mastercard, Inc., Class A | $3,624,616 | |||
15,225 | Visa, Inc., Class A | 3,619,439 | |||
24,094,587 | |||||
Food Products — 1.1% | |||||
14,480 | Hershey (The) Co. | 3,349,369 | |||
78,635 | Lamb Weston Holdings, Inc. | 8,148,945 | |||
11,498,314 | |||||
Ground Transportation — 3.0% | |||||
212,061 | CSX Corp. | 7,065,872 | |||
15,945 | Norfolk Southern Corp. | 3,724,593 | |||
19,557 | Old Dominion Freight Line, Inc. | 8,203,966 | |||
209,384 | Uber Technologies, Inc. (a) | 10,356,133 | |||
8,603 | Union Pacific Corp. | 1,996,068 | |||
31,346,632 | |||||
Health Care Equipment & Supplies — 3.6% | |||||
16,146 | Abbott Laboratories | 1,797,534 | |||
97,629 | Boston Scientific Corp. (a) | 5,062,064 | |||
56,270 | Dexcom, Inc. (a) | 7,008,991 | |||
18,660 | Edwards Lifesciences Corp. (a) | 1,531,426 | |||
3,505 | IDEXX Laboratories, Inc. (a) | 1,944,329 | |||
6,104 | Insulet Corp. (a) | 1,689,282 | |||
21,147 | Intuitive Surgical, Inc. (a) | 6,860,087 | |||
8,056 | ResMed, Inc. | 1,791,251 | |||
17,309 | Stryker Corp. | 4,905,544 | |||
36,269 | Zimmer Biomet Holdings, Inc. | 5,010,562 | |||
37,601,070 | |||||
Health Care Providers & Services — 1.6% | |||||
95,581 | Cardinal Health, Inc. | 8,742,794 | |||
29,785 | HCA Healthcare, Inc. | 8,125,646 | |||
16,868,440 | |||||
Health Care REITs — 0.3% | |||||
44,698 | Welltower, Inc. | 3,671,941 | |||
Health Care Technology — 0.2% | |||||
8,903 | Veeva Systems, Inc., Class A (a) | 1,818,171 | |||
Hotel & Resort REITs — 0.6% | |||||
313,769 | Host Hotels & Resorts, Inc. | 5,773,350 | |||
Hotels, Restaurants & Leisure — 8.5% | |||||
56,424 | Airbnb, Inc., Class A (a) | 8,587,169 | |||
3,347 | Booking Holdings, Inc. (a) | 9,943,268 | |||
4,226 | Chipotle Mexican Grill, Inc. (a) | 8,292,595 | |||
54,100 | Darden Restaurants, Inc. | 9,138,572 | |||
49,682 | Hilton Worldwide Holdings, Inc. | 7,725,054 | |||
124,677 | Las Vegas Sands Corp. (a) | 7,456,931 |
Shares | Description | Value | |||
Hotels, Restaurants & Leisure (Continued) | |||||
49,209 | Marriott International, Inc., Class A | $9,930,868 | |||
5,899 | McDonald’s Corp. | 1,729,587 | |||
205,808 | MGM Resorts International | 10,448,872 | |||
87,132 | Royal Caribbean Cruises Ltd. (a) | 9,506,973 | |||
17,769 | Starbucks Corp. | 1,804,797 | |||
26,096 | Yum! Brands, Inc. | 3,592,636 | |||
88,157,322 | |||||
Independent Power and Renewable Electricity Producers — 0.2% | |||||
84,913 | AES (The) Corp. | 1,836,668 | |||
Industrial Conglomerates — 0.3% | |||||
17,425 | Honeywell International, Inc. | 3,382,715 | |||
Insurance — 1.2% | |||||
10,474 | Aon PLC, Class A | 3,335,969 | |||
24,050 | Arthur J. Gallagher & Co. | 5,165,940 | |||
19,224 | Marsh & McLennan Cos., Inc. | 3,622,186 | |||
12,124,095 | |||||
Interactive Media & Services — 0.4% | |||||
42,061 | Match Group, Inc. (a) | 1,956,257 | |||
64,383 | Pinterest, Inc., Class A (a) | 1,866,463 | |||
3,822,720 | |||||
IT Services — 3.5% | |||||
110,621 | Cloudflare, Inc., Class A (a) | 7,607,406 | |||
20,643 | Gartner, Inc. (a) | 7,299,159 | |||
23,429 | GoDaddy, Inc., Class A (a) | 1,806,142 | |||
21,993 | MongoDB, Inc. (a) | 9,311,836 | |||
41,092 | Snowflake, Inc., Class A (a) | 7,302,459 | |||
16,000 | VeriSign, Inc. (a) | 3,375,200 | |||
36,702,202 | |||||
Life Sciences Tools & Services — 0.3% | |||||
16,086 | IQVIA Holdings, Inc. (a) | 3,599,403 | |||
Machinery — 3.8% | |||||
29,390 | Caterpillar, Inc. | 7,793,346 | |||
13,032 | Deere & Co. | 5,598,547 | |||
8,177 | IDEX Corp. | 1,846,448 | |||
14,453 | Illinois Tool Works, Inc. | 3,805,764 | |||
138,297 | Ingersoll Rand, Inc. | 9,026,645 | |||
14,568 | Nordson Corp. | 3,665,455 | |||
40,620 | Otis Worldwide Corp. | 3,694,795 | |||
32,105 | Xylem, Inc. | 3,619,839 | |||
39,050,839 | |||||
Metals & Mining — 2.7% | |||||
90,391 | Freeport-McMoRan, Inc. | 4,035,958 | |||
44,099 | Nucor Corp. | 7,588,997 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Metals & Mining (Continued) | |||||
33,282 | Reliance Steel & Aluminum Co. | $9,746,967 | |||
66,385 | Steel Dynamics, Inc. | 7,075,313 | |||
28,447,235 | |||||
Oil, Gas & Consumable Fuels — 5.7% | |||||
51,514 | APA Corp. | 2,085,802 | |||
34,659 | Cheniere Energy, Inc. | 5,609,906 | |||
22,978 | Chevron Corp. | 3,760,579 | |||
50,968 | ConocoPhillips | 5,999,953 | |||
208,725 | Coterra Energy, Inc. | 5,748,287 | |||
36,414 | Devon Energy Corp. | 1,966,356 | |||
13,401 | Diamondback Energy, Inc. | 1,974,235 | |||
31,594 | EOG Resources, Inc. | 4,187,153 | |||
49,238 | Exxon Mobil Corp. | 5,280,283 | |||
38,843 | Hess Corp. | 5,893,648 | |||
102,221 | Kinder Morgan, Inc. | 1,810,334 | |||
61,491 | Occidental Petroleum Corp. | 3,881,927 | |||
28,520 | ONEOK, Inc. | 1,911,981 | |||
8,496 | Pioneer Natural Resources Co. | 1,917,292 | |||
69,392 | Targa Resources Corp. | 5,689,450 | |||
53,946 | Williams (The) Cos., Inc. | 1,858,440 | |||
59,575,626 | |||||
Passenger Airlines — 0.8% | |||||
190,137 | Delta Air Lines, Inc. | 8,795,738 | |||
Pharmaceuticals — 0.7% | |||||
7,710 | Eli Lilly & Co. | 3,504,581 | |||
31,334 | Merck & Co., Inc. | 3,341,771 | |||
6,846,352 | |||||
Professional Services — 1.2% | |||||
22,443 | Equifax, Inc. | 4,580,167 | |||
11,255 | Paycom Software, Inc. | 4,150,394 | |||
15,996 | Verisk Analytics, Inc. | 3,662,124 | |||
12,392,685 | |||||
Real Estate Management & Development — 0.5% | |||||
59,335 | CoStar Group, Inc. (a) | 4,982,360 | |||
Residential REITs — 0.7% | |||||
16,169 | Camden Property Trust | 1,763,876 | |||
105,106 | Invitation Homes, Inc. | 3,731,263 | |||
40,974 | UDR, Inc. | 1,675,017 | |||
7,170,156 | |||||
Semiconductors & Semiconductor Equipment — 9.0% | |||||
27,107 | Analog Devices, Inc. | 5,408,660 | |||
62,537 | Applied Materials, Inc. | 9,479,984 | |||
10,421 | Broadcom, Inc. | 9,364,832 | |||
27,780 | First Solar, Inc. (a) | 5,761,572 | |||
18,637 | KLA Corp. | 9,578,486 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment (Continued) | |||||
14,061 | Lam Research Corp. | $10,102,688 | |||
80,716 | Microchip Technology, Inc. | 7,582,461 | |||
13,386 | Monolithic Power Systems, Inc. | 7,489,333 | |||
17,095 | NVIDIA Corp. | 7,988,322 | |||
44,162 | NXP Semiconductors N.V. | 9,847,243 | |||
95,571 | ON Semiconductor Corp. (a) | 10,297,775 | |||
92,901,356 | |||||
Software — 14.4% | |||||
14,788 | Adobe, Inc. (a) | 8,076,762 | |||
10,947 | ANSYS, Inc. (a) | 3,744,969 | |||
8,603 | Autodesk, Inc. (a) | 1,823,750 | |||
45,192 | BILL Holdings, Inc. (a) | 5,664,365 | |||
30,835 | Cadence Design Systems, Inc. (a) | 7,215,698 | |||
24,618 | Crowdstrike Holdings, Inc., Class A (a) | 3,979,746 | |||
73,504 | Datadog, Inc., Class A (a) | 8,579,387 | |||
8,936 | Fair Isaac Corp. (a) | 7,488,100 | |||
119,581 | Fortinet, Inc. (a) | 9,293,835 | |||
16,988 | HubSpot, Inc. (a) | 9,862,383 | |||
3,842 | Intuit, Inc. | 1,965,951 | |||
15,507 | Microsoft Corp. | 5,209,112 | |||
75,902 | Oracle Corp. | 8,897,992 | |||
589,635 | Palantir Technologies, Inc., Class A (a) | 11,698,358 | |||
35,377 | Palo Alto Networks, Inc. (a) | 8,842,835 | |||
25,409 | PTC, Inc. (a) | 3,704,886 | |||
12,868 | ServiceNow, Inc. (a) | 7,502,044 | |||
68,162 | Splunk, Inc. (a) | 7,383,990 | |||
16,608 | Synopsys, Inc. (a) | 7,503,494 | |||
12,680 | Tyler Technologies, Inc. (a) | 5,029,268 | |||
32,013 | Workday, Inc., Class A (a) | 7,591,243 | |||
49,428 | Zscaler, Inc. (a) | 7,927,263 | |||
148,985,431 | |||||
Specialized REITs — 1.1% | |||||
4,612 | Equinix, Inc. | 3,735,351 | |||
92,938 | Iron Mountain, Inc. | 5,706,393 | |||
56,005 | VICI Properties, Inc. | 1,763,038 | |||
11,204,782 | |||||
Specialty Retail — 2.8% | |||||
1,450 | AutoZone, Inc. (a) | 3,598,494 | |||
11,640 | Home Depot (The), Inc. | 3,885,898 | |||
9,462 | O’Reilly Automotive, Inc. (a) | 8,759,825 | |||
32,245 | Ross Stores, Inc. | 3,696,567 | |||
62,280 | TJX (The) Cos., Inc. | 5,389,088 | |||
7,684 | Ulta Beauty, Inc. (a) | 3,417,843 | |||
28,747,715 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Technology Hardware, Storage & Peripherals — 0.7% | |||||
37,280 | Apple, Inc. | $7,323,656 | |||
Trading Companies & Distributors — 2.4% | |||||
122,585 | Fastenal Co. | 7,184,707 | |||
20,296 | United Rentals, Inc. | 9,431,145 | |||
11,462 | W.W. Grainger, Inc. | 8,464,572 | |||
25,080,424 | |||||
Total Common Stocks | 1,035,981,204 | ||||
(Cost $857,957,649) | |||||
MONEY MARKET FUNDS — 0.0% | |||||
446,088 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | 446,088 | |||
(Cost $446,088) | |||||
Total Investments — 100.0% | 1,036,427,292 | ||||
(Cost $858,403,737) | |||||
Net Other Assets and Liabilities — (0.0)% | (298,673 ) | ||||
Net Assets — 100.0% | $1,036,128,619 |
(a) | Non-income producing security. |
(b) | Rate shown reflects yield as of July 31, 2023. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $1,035,981,204 | $1,035,981,204 | $— | $— |
Money Market Funds | 446,088 | 446,088 | — | — |
Total Investments | $1,036,427,292 | $1,036,427,292 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 1.6% | |||||
1,447 | AAR Corp. (a) | $86,531 | |||
1,993 | General Dynamics Corp. | 445,595 | |||
954 | Huntington Ingalls Industries, Inc. | 219,105 | |||
730 | L3Harris Technologies, Inc. | 138,328 | |||
16,705 | Leonardo DRS, Inc. (a) | 278,806 | |||
310 | Lockheed Martin Corp. | 138,375 | |||
378 | Moog, Inc., Class A | 39,856 | |||
942 | Northrop Grumman Corp. | 419,190 | |||
2,997 | RTX Corp. | 263,526 | |||
8,681 | Textron, Inc. | 675,121 | |||
2,704,433 | |||||
Air Freight & Logistics — 1.0% | |||||
11,069 | Air Transport Services Group, Inc. (a) | 223,151 | |||
1,536 | C.H. Robinson Worldwide, Inc. | 153,876 | |||
3,540 | Expeditors International of Washington, Inc. | 450,642 | |||
2,369 | FedEx Corp. | 639,512 | |||
2,600 | Hub Group, Inc., Class A (a) | 234,338 | |||
1,701,519 | |||||
Automobile Components — 0.8% | |||||
1,890 | Adient PLC (a) | 80,438 | |||
5,922 | BorgWarner, Inc. | 275,373 | |||
521 | Dorman Products, Inc. (a) | 44,124 | |||
4,949 | Gentex Corp. | 166,187 | |||
12,215 | Goodyear Tire & Rubber (The) Co. (a) | 196,417 | |||
662 | LCI Industries | 90,211 | |||
1,513 | Lear Corp. | 234,152 | |||
2,611 | Patrick Industries, Inc. | 225,982 | |||
1,312,884 | |||||
Automobiles — 1.0% | |||||
38,806 | Ford Motor Co. | 512,627 | |||
19,033 | General Motors Co. | 730,296 | |||
3,498 | Thor Industries, Inc. | 403,984 | |||
2,507 | Winnebago Industries, Inc. | 172,482 | |||
1,819,389 | |||||
Banks — 15.8% | |||||
2,932 | 1st Source Corp. | 137,511 | |||
4,885 | Ameris Bancorp | 213,230 | |||
10,296 | Associated Banc-Corp. | 195,109 | |||
4,739 | Atlantic Union Bankshares Corp. | 151,553 | |||
3,117 | Axos Financial, Inc. (a) | 146,499 | |||
1,256 | Bancorp (The), Inc. (a) | 47,602 | |||
20,465 | Bank of America Corp. | 654,880 | |||
2,027 | Bank of Hawaii Corp. (b) | 115,803 |
Shares | Description | Value | |||
Banks (Continued) | |||||
7,212 | Bank OZK | $315,381 | |||
7,754 | BankUnited, Inc. | 231,379 | |||
2,816 | Banner Corp. | 134,070 | |||
5,932 | Berkshire Hills Bancorp, Inc. | 135,309 | |||
2,690 | BOK Financial Corp. | 239,625 | |||
19,120 | Brookline Bancorp, Inc. | 204,202 | |||
14,748 | Cadence Bank | 369,437 | |||
13,543 | Capitol Federal Financial, Inc. | 89,790 | |||
5,191 | Cathay General Bancorp | 197,466 | |||
15,940 | Citigroup, Inc. | 759,700 | |||
28,141 | Citizens Financial Group, Inc. | 907,829 | |||
2,021 | Columbia Banking System, Inc. | 45,169 | |||
6,837 | Comerica, Inc. | 368,925 | |||
874 | Community Bank System, Inc. | 47,047 | |||
11,848 | Dime Community Bancshares, Inc. | 265,395 | |||
9,871 | Eagle Bancorp, Inc. | 273,427 | |||
5,488 | East West Bancorp, Inc. | 341,409 | |||
4,274 | Enterprise Financial Services Corp. | 175,234 | |||
25,321 | F.N.B. Corp. | 323,856 | |||
2,978 | FB Financial Corp. | 105,481 | |||
22,402 | Fifth Third Bancorp | 651,898 | |||
4,133 | First Bancorp | 136,720 | |||
6,837 | First BanCorp | 101,529 | |||
6,118 | First Busey Corp. | 132,516 | |||
282 | First Citizens BancShares, Inc., Class A | 403,627 | |||
6,604 | First Commonwealth Financial Corp. | 95,362 | |||
8,175 | First Financial Bancorp | 188,761 | |||
12,063 | First Hawaiian, Inc. | 249,583 | |||
12,150 | First Interstate BancSystem, Inc., Class A | 349,070 | |||
5,919 | First Merchants Corp. | 190,118 | |||
14,019 | Fulton Financial Corp. | 200,472 | |||
4,646 | Glacier Bancorp, Inc. | 151,924 | |||
9,434 | Hancock Whitney Corp. | 415,190 | |||
7,495 | Heartland Financial USA, Inc. | 257,378 | |||
1,304 | Hilltop Holdings, Inc. | 40,333 | |||
6,352 | Home BancShares, Inc. | 154,417 | |||
24,809 | Hope Bancorp, Inc. | 269,426 | |||
68,084 | Huntington Bancshares, Inc. | 833,348 | |||
6,509 | Independent Bank Corp. | 392,167 | |||
3,562 | Independent Bank Group, Inc. | 159,827 | |||
2,783 | International Bancshares Corp. | 138,148 | |||
2,948 | JPMorgan Chase & Co. | 465,666 | |||
79,430 | KeyCorp | 977,783 | |||
4,673 | Live Oak Bancshares, Inc. | 176,967 | |||
4,745 | M&T Bank Corp. | 663,636 | |||
2,876 | National Bank Holdings Corp., Class A | 98,819 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Banks (Continued) | |||||
2,623 | NBT Bancorp, Inc. | $97,576 | |||
32,214 | New York Community Bancorp, Inc. | 446,808 | |||
11,601 | Northwest Bancshares, Inc. | 143,388 | |||
13,373 | OceanFirst Financial Corp. | 249,139 | |||
6,408 | OFG Bancorp | 214,604 | |||
20,779 | Old National Bancorp | 353,866 | |||
4,197 | Origin Bancorp, Inc. | 136,822 | |||
8,080 | Pacific Premier Bancorp, Inc. | 206,363 | |||
5,030 | PacWest Bancorp (b) | 46,779 | |||
816 | Park National Corp. | 91,000 | |||
1,803 | Pathward Financial, Inc. | 93,684 | |||
5,114 | Pinnacle Financial Partners, Inc. | 388,153 | |||
4,662 | PNC Financial Services Group (The), Inc. | 638,181 | |||
4,786 | Popular, Inc. | 347,224 | |||
3,846 | Prosperity Bancshares, Inc. | 243,529 | |||
10,228 | Provident Financial Services, Inc. | 189,627 | |||
41,187 | Regions Financial Corp. | 838,979 | |||
6,395 | Renasant Corp. | 197,861 | |||
9,211 | Sandy Spring Bancorp, Inc. | 225,393 | |||
3,781 | Seacoast Banking Corp. of Florida | 93,429 | |||
7,129 | Simmons First National Corp., Class A | 143,935 | |||
4,701 | Southside Bancshares, Inc. | 156,120 | |||
3,301 | SouthState Corp. | 256,389 | |||
3,651 | Stellar Bancorp, Inc. | 90,764 | |||
9,576 | Synovus Financial Corp. | 324,626 | |||
3,244 | Texas Capital Bancshares, Inc. (a) | 207,129 | |||
5,291 | TowneBank | 133,756 | |||
674 | Triumph Financial, Inc. | 47,793 | |||
24,182 | Truist Financial Corp. | 803,326 | |||
5,822 | Trustmark Corp. | 152,886 | |||
17,772 | U.S. Bancorp | 705,193 | |||
3,566 | UMB Financial Corp. | 253,186 | |||
7,322 | United Bankshares, Inc. | 244,848 | |||
8,693 | United Community Banks, Inc. | 252,706 | |||
37,375 | Valley National Bancorp | 383,468 | |||
9,320 | Veritex Holdings, Inc. | 200,473 | |||
6,301 | Washington Federal, Inc. | 195,583 | |||
7,673 | Webster Financial Corp. | 363,086 | |||
13,757 | Wells Fargo & Co. | 635,023 | |||
6,525 | WesBanco, Inc. | 182,765 | |||
9,928 | Western Alliance Bancorp (b) | 515,760 | |||
3,988 | Wintrust Financial Corp. | 336,428 |
Shares | Description | Value | |||
Banks (Continued) | |||||
3,260 | WSFS Financial Corp. | $142,625 | |||
10,785 | Zions Bancorp N.A. (b) | 412,526 | |||
27,469,802 | |||||
Beverages — 0.2% | |||||
342 | Coca-Cola Consolidated, Inc. | 216,626 | |||
4,571 | Keurig Dr Pepper, Inc. | 155,460 | |||
372,086 | |||||
Biotechnology — 0.3% | |||||
2,061 | Biogen, Inc. (a) | 556,861 | |||
Broadline Retail — 0.5% | |||||
12,567 | Kohl’s Corp. | 357,531 | |||
22,560 | Macy’s, Inc. | 374,271 | |||
2,002 | Nordstrom, Inc. (b) | 46,266 | |||
1,250 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 91,100 | |||
869,168 | |||||
Building Products — 1.0% | |||||
5,906 | Carrier Global Corp. | 351,702 | |||
2,012 | Fortune Brands Innovations, Inc. | 142,993 | |||
652 | Gibraltar Industries, Inc. (a) | 42,165 | |||
2,220 | Owens Corning | 310,778 | |||
2,867 | PGT Innovations, Inc. (a) | 82,025 | |||
9,462 | Resideo Technologies, Inc. (a) | 177,128 | |||
1,045 | Simpson Manufacturing Co., Inc. | 165,110 | |||
1,105 | Trex Co., Inc. (a) | 76,400 | |||
2,984 | UFP Industries, Inc. | 306,636 | |||
1,654,937 | |||||
Capital Markets — 3.4% | |||||
1,042 | Artisan Partners Asset Management, Inc., Class A | 43,233 | |||
13,188 | Bank of New York Mellon (The) Corp. | 598,208 | |||
207 | BlackRock, Inc. | 152,942 | |||
13,420 | Carlyle Group (The), Inc. | 478,423 | |||
1,835 | Donnelley Financial Solutions, Inc. (a) | 86,796 | |||
1,758 | Evercore, Inc., Class A | 237,435 | |||
6,059 | Federated Hermes, Inc. | 204,976 | |||
21,982 | Franklin Resources, Inc. | 642,754 | |||
1,820 | Goldman Sachs Group (The), Inc. | 647,683 | |||
6,188 | Golub Capital BDC, Inc. (b) | 86,199 | |||
737 | Houlihan Lokey, Inc. | 73,589 | |||
21,540 | Invesco Ltd. | 361,872 | |||
6,550 | Jefferies Financial Group, Inc. | 240,974 | |||
3,437 | Morgan Stanley | 314,692 | |||
317 | Piper Sandler Cos. | 46,396 | |||
8,024 | State Street Corp. | 581,259 | |||
3,641 | Stifel Financial Corp. | 231,349 | |||
1,480 | StoneX Group, Inc. (a) | 136,175 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Capital Markets (Continued) | |||||
3,828 | T. Rowe Price Group, Inc. | $471,839 | |||
5,299 | Victory Capital Holdings, Inc., Class A | 175,715 | |||
2,399 | Virtu Financial, Inc., Class A | 44,525 | |||
622 | Virtus Investment Partners, Inc. | 127,964 | |||
5,984,998 | |||||
Chemicals — 4.6% | |||||
5,971 | AdvanSix, Inc. | 239,497 | |||
3,541 | Avient Corp. | 143,517 | |||
6,338 | Celanese Corp. | 794,722 | |||
5,124 | Corteva, Inc. | 289,147 | |||
13,779 | Dow, Inc. | 778,100 | |||
10,274 | DuPont de Nemours, Inc. | 797,571 | |||
2,596 | Eastman Chemical Co. | 222,166 | |||
7,291 | Ecovyst, Inc. (a) | 89,606 | |||
7,543 | Element Solutions, Inc. | 158,101 | |||
2,814 | FMC Corp. | 270,791 | |||
2,025 | H.B. Fuller Co. | 149,911 | |||
10,720 | Huntsman Corp. | 319,134 | |||
7,992 | LyondellBasell Industries N.V., Class A | 790,089 | |||
8,132 | Mativ Holdings, Inc. | 127,998 | |||
2,897 | Minerals Technologies, Inc. | 177,731 | |||
20,969 | Mosaic (The) Co. | 854,696 | |||
540 | NewMarket Corp. | 243,918 | |||
7,046 | Olin Corp. | 406,413 | |||
19,994 | Perimeter Solutions S.A. (a) | 111,167 | |||
964 | PPG Industries, Inc. | 138,719 | |||
575 | Sensient Technologies Corp. | 36,823 | |||
874 | Stepan Co. | 83,747 | |||
6,142 | Westlake Corp. | 844,525 | |||
8,068,089 | |||||
Commercial Services & Supplies — 0.6% | |||||
1,757 | Brady Corp., Class A | 90,626 | |||
22,198 | CoreCivic, Inc. (a) | 215,321 | |||
29,175 | GEO Group (The), Inc. (a) | 217,937 | |||
4,363 | HNI Corp. | 126,920 | |||
14,134 | MillerKnoll, Inc. | 276,602 | |||
1,559 | Stericycle, Inc. (a) | 66,242 | |||
538 | UniFirst Corp. | 87,317 | |||
1,080,965 | |||||
Communications Equipment — 0.4% | |||||
3,892 | ADTRAN Holdings, Inc. | 37,869 | |||
1,704 | Ciena Corp. (a) | 71,909 | |||
5,675 | Cisco Systems, Inc. | 295,327 | |||
495 | F5, Inc. (a) | 78,329 |
Shares | Description | Value | |||
Communications Equipment (Continued) | |||||
4,623 | Juniper Networks, Inc. | $128,519 | |||
2,699 | NetScout Systems, Inc. (a) | 75,437 | |||
687,390 | |||||
Construction & Engineering — 0.5% | |||||
2,205 | Arcosa, Inc. | 170,182 | |||
2,100 | Granite Construction, Inc. | 85,953 | |||
17,291 | MDU Resources Group, Inc. | 382,477 | |||
297 | MYR Group, Inc. (a) | 42,340 | |||
5,485 | Primoris Services Corp. | 174,204 | |||
855,156 | |||||
Construction Materials — 0.2% | |||||
309 | Martin Marietta Materials, Inc. | 137,956 | |||
5,739 | Summit Materials, Inc., Class A (c) | 207,637 | |||
345,593 | |||||
Consumer Finance — 2.2% | |||||
13,406 | Ally Financial, Inc. | 409,419 | |||
6,654 | Bread Financial Holdings, Inc. | 276,607 | |||
6,710 | Capital One Financial Corp. | 785,204 | |||
143 | Credit Acceptance Corp. (a) | 79,594 | |||
5,025 | Discover Financial Services | 530,389 | |||
1,719 | Encore Capital Group, Inc. (a) | 91,966 | |||
3,147 | Enova International, Inc. (a) | 173,368 | |||
8,993 | Navient Corp. | 171,227 | |||
866 | Nelnet, Inc., Class A | 85,457 | |||
6,630 | OneMain Holdings, Inc. | 301,532 | |||
1,794 | PRA Group, Inc. (a) | 42,805 | |||
8,874 | SLM Corp. | 143,581 | |||
21,638 | Synchrony Financial | 747,377 | |||
3,838,526 | |||||
Consumer Staples Distribution & Retail — 1.7% | |||||
3,620 | Andersons (The), Inc. | 176,728 | |||
2,298 | BJ’s Wholesale Club Holdings, Inc. (a) | 152,380 | |||
1,728 | Dollar General Corp. | 291,790 | |||
2,047 | Dollar Tree, Inc. (a) | 315,913 | |||
2,527 | Ingles Markets, Inc., Class A | 214,290 | |||
12,492 | Kroger (The) Co. | 607,611 | |||
1,202 | Performance Food Group Co. (a) | 71,832 | |||
1,127 | PriceSmart, Inc. | 87,602 | |||
5,914 | Sprouts Farmers Market, Inc. (a) | 232,124 | |||
2,226 | Target Corp. | 303,782 | |||
10,685 | United Natural Foods, Inc. (a) | 222,248 | |||
1,645 | US Foods Holding Corp. (a) | 70,291 | |||
2,602 | Weis Markets, Inc. | 172,617 | |||
2,919,208 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Containers & Packaging — 2.0% | |||||
624 | AptarGroup, Inc. | $75,791 | |||
1,709 | Avery Dennison Corp. | 314,473 | |||
4,502 | Berry Global Group, Inc. | 295,196 | |||
834 | Crown Holdings, Inc. | 77,362 | |||
23,072 | International Paper Co. | 831,976 | |||
9,793 | O-I Glass, Inc. (a) | 224,847 | |||
5,553 | Packaging Corp. of America | 851,553 | |||
27,594 | Pactiv Evergreen, Inc. | 237,584 | |||
1,811 | Sealed Air Corp. | 82,618 | |||
3,089 | Silgan Holdings, Inc. | 135,453 | |||
3,681 | Sonoco Products Co. | 215,854 | |||
3,040 | TriMas Corp. | 78,311 | |||
2,491 | Westrock Co. | 82,925 | |||
3,503,943 | |||||
Distributors — 0.4% | |||||
10,076 | LKQ Corp. | 552,064 | |||
382 | Pool Corp. | 146,971 | |||
699,035 | |||||
Diversified Consumer Services — 0.4% | |||||
23,524 | Chegg, Inc. (a) | 238,298 | |||
1,285 | Frontdoor, Inc. (a) | 44,872 | |||
147 | Graham Holdings Co., Class B | 86,252 | |||
3,390 | Laureate Education, Inc. | 43,460 | |||
1,231 | Strategic Education, Inc. | 92,448 | |||
4,488 | Stride, Inc. (a) | 171,487 | |||
676,817 | |||||
Diversified REITs — 0.4% | |||||
8,704 | American Assets Trust, Inc. | 195,840 | |||
10,824 | Broadstone Net Lease, Inc. | 176,431 | |||
22,311 | Empire State Realty Trust, Inc., Class A | 199,683 | |||
11,962 | Global Net Lease, Inc. | 127,874 | |||
699,828 | |||||
Diversified Telecommunication Services — 0.9% | |||||
18,406 | AT&T, Inc. | 267,255 | |||
19,425 | Frontier Communications Parent, Inc. (a) | 353,729 | |||
14,266 | Liberty Latin America Ltd., Class C (a) | 118,693 | |||
128,169 | Lumen Technologies, Inc. | 229,423 | |||
19,735 | Verizon Communications, Inc. | 672,569 | |||
1,641,669 | |||||
Electric Utilities — 4.0% | |||||
4,996 | ALLETE, Inc. | 286,920 | |||
8,169 | Alliant Energy Corp. | 439,002 |
Shares | Description | Value | |||
Electric Utilities (Continued) | |||||
5,092 | American Electric Power Co., Inc. | $431,496 | |||
4,778 | Duke Energy Corp. | 447,316 | |||
6,174 | Edison International | 444,281 | |||
6,030 | Entergy Corp. | 619,281 | |||
12,563 | Evergy, Inc. | 753,403 | |||
8,279 | Eversource Energy | 598,820 | |||
14,413 | Exelon Corp. | 603,328 | |||
4,001 | Hawaiian Electric Industries, Inc. | 153,599 | |||
1,411 | IDACORP, Inc. | 145,079 | |||
2,667 | Pinnacle West Capital Corp. | 220,881 | |||
6,186 | Portland General Electric Co. | 294,887 | |||
22,191 | PPL Corp. | 610,918 | |||
4,179 | Southern (The) Co. | 302,309 | |||
9,445 | Xcel Energy, Inc. | 592,485 | |||
6,944,005 | |||||
Electrical Equipment — 0.5% | |||||
1,332 | Acuity Brands, Inc. | 220,100 | |||
1,582 | Emerson Electric Co. | 144,516 | |||
667 | EnerSys | 72,249 | |||
33,157 | GrafTech International Ltd. | 175,069 | |||
942 | Regal Rexnord Corp. | 147,121 | |||
435 | Rockwell Automation, Inc. | 146,286 | |||
905,341 | |||||
Electronic Equipment, Instruments & Components — 1.8% | |||||
650 | Advanced Energy Industries, Inc. | 81,367 | |||
2,528 | Arrow Electronics, Inc. (a) | 360,341 | |||
7,177 | Avnet, Inc. | 348,085 | |||
779 | CDW Corp. | 145,728 | |||
1,420 | Coherent Corp. (a) | 67,251 | |||
8,379 | Corning, Inc. | 284,383 | |||
2,185 | ePlus, Inc. (a) | 123,125 | |||
494 | Insight Enterprises, Inc. (a) | 72,465 | |||
1,342 | Jabil, Inc. | 148,519 | |||
3,668 | Methode Electronics, Inc. | 123,392 | |||
347 | OSI Systems, Inc. (a) | 41,373 | |||
851 | Plexus Corp. (a) | 83,815 | |||
253 | Rogers Corp. (a) | 42,658 | |||
4,807 | Sanmina Corp. (a) | 295,438 | |||
3,082 | TD SYNNEX Corp. | 304,224 | |||
5,545 | Trimble, Inc. (a) | 298,321 | |||
12,023 | TTM Technologies, Inc. (a) | 172,650 | |||
5,683 | Vishay Intertechnology, Inc. | 159,976 | |||
3,153,111 | |||||
Energy Equipment & Services — 0.4% | |||||
8,152 | Archrock, Inc. | 95,052 | |||
13,545 | NOV, Inc. | 271,984 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Energy Equipment & Services (Continued) | |||||
2,191 | Oceaneering International, Inc. (a) | $49,188 | |||
20,280 | ProPetro Holding Corp. (a) | 211,723 | |||
627,947 | |||||
Entertainment — 0.3% | |||||
667 | Netflix, Inc. (a) | 292,793 | |||
1,600 | Walt Disney (The) Co. (a) | 142,224 | |||
435,017 | |||||
Financial Services — 2.3% | |||||
2,028 | Cannae Holdings, Inc. (a) | 41,331 | |||
1,890 | Compass Diversified Holdings | 42,582 | |||
41,560 | Corebridge Financial, Inc. | 777,588 | |||
2,666 | Equitable Holdings, Inc. | 76,487 | |||
7,737 | Essent Group Ltd. | 383,755 | |||
2,269 | EVERTEC, Inc. | 89,240 | |||
570 | FleetCor Technologies, Inc. (a) | 141,879 | |||
1,450 | Global Payments, Inc. | 159,862 | |||
11,829 | Jackson Financial, Inc., Class A | 390,593 | |||
6,533 | Merchants Bancorp | 206,508 | |||
22,931 | MGIC Investment Corp. | 383,865 | |||
2,428 | Mr. Cooper Group, Inc. (a) | 140,751 | |||
8,090 | NMI Holdings, Inc., Class A (a) | 216,084 | |||
1,749 | PennyMac Financial Services, Inc. | 131,577 | |||
14,323 | Radian Group, Inc. | 385,718 | |||
1,010 | Voya Financial, Inc. | 75,003 | |||
2,113 | Walker & Dunlop, Inc. | 192,241 | |||
18,520 | Western Union (The) Co. | 225,574 | |||
4,060,638 | |||||
Food Products — 3.3% | |||||
9,714 | Archer-Daniels-Midland Co. | 825,301 | |||
7,779 | Bunge Ltd. | 845,344 | |||
6,422 | Campbell Soup Co. | 294,256 | |||
12,717 | Conagra Brands, Inc. | 417,245 | |||
2,911 | Flowers Foods, Inc. | 71,931 | |||
8,124 | Fresh Del Monte Produce, Inc. | 215,936 | |||
3,828 | General Mills, Inc. | 286,105 | |||
7,299 | Hormel Foods Corp. | 298,383 | |||
2,050 | Ingredion, Inc. | 228,083 | |||
16,539 | Kraft Heinz (The) Co. | 598,381 | |||
1,959 | Mondelez International, Inc., Class A | 145,221 | |||
3,342 | Post Holdings, Inc. (a) | 285,072 | |||
102 | Seaboard Corp. | 367,710 | |||
14,379 | Tyson Foods, Inc., Class A | 801,198 | |||
5,680,166 | |||||
Gas Utilities — 0.6% | |||||
3,686 | Atmos Energy Corp. | 448,623 |
Shares | Description | Value | |||
Gas Utilities (Continued) | |||||
3,883 | Northwest Natural Holding Co. | $166,852 | |||
2,829 | ONE Gas, Inc. | 223,859 | |||
4,566 | Spire, Inc. | 290,261 | |||
1,129,595 | |||||
Ground Transportation — 1.8% | |||||
1,691 | ArcBest Corp. | 196,697 | |||
12,729 | Heartland Express, Inc. | 208,119 | |||
19,689 | Hertz Global Holdings, Inc. (a) | 331,760 | |||
2,369 | J.B. Hunt Transport Services, Inc. | 483,134 | |||
6,516 | Knight-Swift Transportation Holdings, Inc. | 395,847 | |||
4,270 | Ryder System, Inc. | 436,181 | |||
5,819 | Schneider National, Inc., Class B | 179,283 | |||
13,268 | U-Haul Holding Co. (b) | 807,490 | |||
3,783 | Werner Enterprises, Inc. | 177,877 | |||
3,216,388 | |||||
Health Care Equipment & Supplies — 0.8% | |||||
4,810 | Avanos Medical, Inc. (a) | 117,701 | |||
4,280 | Envista Holdings Corp. (a) | 147,275 | |||
3,625 | Hologic, Inc. (a) | 287,897 | |||
463 | Integer Holdings Corp. (a) | 42,818 | |||
5,282 | Integra LifeSciences Holdings Corp. (a) | 240,173 | |||
3,333 | Medtronic PLC | 292,504 | |||
2,622 | QuidelOrtho Corp. (a) | 229,058 | |||
299 | Teleflex, Inc. | 75,100 | |||
1,432,526 | |||||
Health Care Providers & Services — 2.7% | |||||
1,298 | Apollo Medical Holdings, Inc. (a) | 47,546 | |||
6,357 | Centene Corp. (a) | 432,848 | |||
2,093 | Cigna Group (The) | 617,644 | |||
6,202 | CVS Health Corp. | 463,227 | |||
720 | DaVita, Inc. (a) | 73,433 | |||
965 | Elevance Health, Inc. | 455,123 | |||
1,070 | Encompass Health Corp. | 70,652 | |||
894 | Henry Schein, Inc. (a) | 70,438 | |||
657 | Humana, Inc. | 300,137 | |||
1,776 | Laboratory Corp. of America Holdings | 379,940 | |||
335 | McKesson Corp. | 134,804 | |||
906 | ModivCare, Inc. (a) | 39,628 | |||
475 | Molina Healthcare, Inc. (a) | 144,633 | |||
4,389 | Owens & Minor, Inc. (a) | 84,444 | |||
2,512 | Patterson Cos., Inc. | 82,620 | |||
8,654 | Pediatrix Medical Group, Inc. (a) | 118,819 | |||
7,854 | Premier, Inc., Class A | 217,949 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Health Care Providers & Services (Continued) | |||||
3,051 | Quest Diagnostics, Inc. | $412,526 | |||
2,274 | Select Medical Holdings Corp. | 68,243 | |||
890 | Tenet Healthcare Corp. (a) | 66,510 | |||
298 | UnitedHealth Group, Inc. | 150,898 | |||
1,836 | Universal Health Services, Inc., Class B | 255,131 | |||
4,687,193 | |||||
Health Care REITs — 0.6% | |||||
3,840 | Healthcare Realty Trust, Inc. | 74,995 | |||
31,281 | Medical Properties Trust, Inc. | 315,625 | |||
1,593 | National Health Investors, Inc. | 87,472 | |||
15,528 | Physicians Realty Trust | 228,883 | |||
3,482 | Sabra Health Care REIT, Inc. | 45,231 | |||
6,211 | Ventas, Inc. | 301,358 | |||
1,053,564 | |||||
Health Care Technology — 0.1% | |||||
13,263 | Veradigm, Inc. (a) | 179,316 | |||
Hotel & Resort REITs — 0.1% | |||||
16,295 | Park Hotels & Resorts, Inc. | 222,101 | |||
Hotels, Restaurants & Leisure — 0.3% | |||||
439 | Cracker Barrel Old Country Store, Inc. | 40,915 | |||
15,067 | Penn Entertainment, Inc. (a) | 396,111 | |||
437,026 | |||||
Household Durables — 3.8% | |||||
417 | Cavco Industries, Inc. (a) | 123,286 | |||
2,727 | Century Communities, Inc. | 210,579 | |||
6,031 | D.R. Horton, Inc. | 766,057 | |||
4,112 | Garmin Ltd. | 435,420 | |||
2,165 | Green Brick Partners, Inc. (a) | 122,366 | |||
773 | Helen of Troy Ltd. (a) | 109,225 | |||
4,039 | KB Home | 217,985 | |||
7,293 | La-Z-Boy, Inc. | 228,781 | |||
7,335 | Leggett & Platt, Inc. | 214,622 | |||
5,858 | Lennar Corp., Class A | 742,970 | |||
911 | LGI Homes, Inc. (a) | 126,401 | |||
4,467 | M.D.C. Holdings, Inc. | 229,068 | |||
2,396 | M/I Homes, Inc. (a) | 239,600 | |||
2,546 | Meritage Homes Corp. | 379,227 | |||
1,403 | Mohawk Industries, Inc. (a) | 149,195 | |||
68 | NVR, Inc. (a) | 428,838 | |||
9,449 | PulteGroup, Inc. | 797,401 | |||
7,425 | Taylor Morrison Home Corp. (a) | 359,518 | |||
4,578 | Toll Brothers, Inc. | 367,751 |
Shares | Description | Value | |||
Household Durables (Continued) | |||||
544 | TopBuild Corp. (a) | $149,018 | |||
6,357 | Tri Pointe Homes, Inc. (a) | 202,661 | |||
6,599,969 | |||||
Household Products — 0.3% | |||||
3,373 | Central Garden & Pet Co., Class A (a) | 128,916 | |||
1,035 | Kimberly-Clark Corp. | 133,618 | |||
943 | Procter & Gamble (The) Co. | 147,391 | |||
2,563 | Reynolds Consumer Products, Inc. | 70,944 | |||
217 | WD-40 Co. | 49,802 | |||
530,671 | |||||
Industrial Conglomerates — 0.6% | |||||
5,865 | 3M Co. | 653,947 | |||
2,673 | General Electric Co. | 305,364 | |||
959,311 | |||||
Industrial REITs — 0.2% | |||||
12,613 | LXP Industrial Trust | 127,013 | |||
4,036 | STAG Industrial, Inc. | 146,507 | |||
273,520 | |||||
Insurance — 4.3% | |||||
6,142 | Aflac, Inc. | 444,312 | |||
2,780 | American Equity Investment Life Holding Co. | 149,203 | |||
1,219 | American Financial Group, Inc. | 148,243 | |||
12,756 | American International Group, Inc. | 768,932 | |||
5,728 | Arch Capital Group Ltd. (a) | 445,008 | |||
575 | Assurant, Inc. | 77,343 | |||
2,596 | Assured Guaranty Ltd. | 155,189 | |||
2,691 | Axis Capital Holdings Ltd. | 148,328 | |||
1,530 | Brighthouse Financial, Inc. (a) | 79,759 | |||
2,076 | Brown & Brown, Inc. | 146,254 | |||
2,227 | Chubb Ltd. | 455,221 | |||
5,195 | CNO Financial Group, Inc. | 133,615 | |||
3,288 | Employers Holdings, Inc. | 127,016 | |||
418 | Everest Group Ltd. | 150,693 | |||
4,024 | Fidelity National Financial, Inc. | 157,620 | |||
1,269 | First American Financial Corp. | 80,429 | |||
41,778 | Genworth Financial, Inc., Class A (a) | 244,819 | |||
661 | Globe Life, Inc. | 74,144 | |||
8,153 | Hartford Financial Services Group (The), Inc. | 586,038 | |||
9,888 | Loews Corp. | 619,483 | |||
2,528 | MetLife, Inc. | 159,188 | |||
8,630 | Old Republic International Corp. | 237,929 | |||
7,743 | Principal Financial Group, Inc. | 618,434 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance (Continued) | |||||
1,044 | Reinsurance Group of America, Inc. | $146,525 | |||
572 | Safety Insurance Group, Inc. | 41,184 | |||
4,539 | SiriusPoint Ltd. (a) | 42,394 | |||
5,078 | Stewart Information Services Corp. | 239,326 | |||
2,468 | Travelers (The) Cos., Inc. | 426,002 | |||
6,073 | Unum Group | 295,209 | |||
52 | White Mountains Insurance Group Ltd. | 80,445 | |||
7,478,285 | |||||
Interactive Media & Services — 0.3% | |||||
1,194 | Alphabet, Inc., Class A (a) | 158,468 | |||
5,434 | Cargurus, Inc. (a) | 123,134 | |||
498 | Meta Platforms, Inc., Class A (a) | 158,663 | |||
843 | Shutterstock, Inc. | 43,372 | |||
1,035 | Ziff Davis, Inc. (a) | 75,058 | |||
558,695 | |||||
IT Services — 0.7% | |||||
463 | Accenture PLC, Class A | 146,470 | |||
3,267 | Akamai Technologies, Inc. (a) | 308,732 | |||
8,993 | Cognizant Technology Solutions Corp., Class A | 593,808 | |||
5,420 | DXC Technology Co. (a) | 149,863 | |||
3,087 | Kyndryl Holdings, Inc. (a) | 42,168 | |||
1,241,041 | |||||
Leisure Products — 0.3% | |||||
3,343 | Brunswick Corp. | 288,534 | |||
2,849 | Malibu Boats, Inc., Class A (a) | 170,798 | |||
459,332 | |||||
Life Sciences Tools & Services — 0.7% | |||||
1,397 | Charles River Laboratories International, Inc. (a) | 292,727 | |||
6,179 | Revvity, Inc. | 759,708 | |||
374 | West Pharmaceutical Services, Inc. | 137,647 | |||
1,190,082 | |||||
Machinery — 2.7% | |||||
2,204 | AGCO Corp. | 293,353 | |||
454 | Alamo Group, Inc. | 87,967 | |||
6,416 | Crane NXT Co. | 379,507 | |||
2,395 | Cummins, Inc. | 624,616 | |||
1,989 | Dover Corp. | 290,334 | |||
921 | EnPro Industries, Inc. | 127,816 | |||
1,950 | Flowserve Corp. | 73,632 | |||
1,911 | Fortive Corp. | 149,727 | |||
4,332 | Kennametal, Inc. | 132,039 |
Shares | Description | Value | |||
Machinery (Continued) | |||||
980 | Middleby (The) Corp. (a) | $148,813 | |||
3,319 | Mueller Industries, Inc. | 269,038 | |||
2,525 | Mueller Water Products, Inc., Class A | 40,627 | |||
1,673 | Oshkosh Corp. | 154,033 | |||
7,018 | PACCAR, Inc. | 604,460 | |||
1,859 | Shyft Group (The), Inc. | 26,825 | |||
1,488 | Snap-on, Inc. | 405,391 | |||
4,576 | Stanley Black & Decker, Inc. | 454,260 | |||
505 | Tennant Co. | 40,521 | |||
1,583 | Timken (The) Co. | 146,998 | |||
2,677 | Westinghouse Air Brake Technologies Corp. | 317,064 | |||
4,767,021 | |||||
Marine Transportation — 0.2% | |||||
1,882 | Kirby Corp. (a) | 153,345 | |||
2,688 | Matson, Inc. | 251,221 | |||
404,566 | |||||
Media — 2.1% | |||||
13,573 | Altice USA, Inc., Class A (a) | 46,012 | |||
220 | Cable One, Inc. | 159,267 | |||
1,168 | Charter Communications, Inc., Class A (a) | 473,262 | |||
10,320 | Comcast Corp., Class A | 467,083 | |||
54,944 | DISH Network Corp., Class A (a) | 435,706 | |||
17,270 | Fox Corp., Class A | 577,681 | |||
7,610 | Interpublic Group of (The) Cos., Inc. | 260,490 | |||
1,205 | John Wiley & Sons, Inc., Class A | 41,247 | |||
1,839 | New York Times (The) Co., Class A | 74,958 | |||
11,141 | News Corp., Class A | 220,815 | |||
2,175 | Nexstar Media Group, Inc. | 406,116 | |||
1,501 | Omnicom Group, Inc. | 127,015 | |||
8,984 | Paramount Global, Class B | 144,013 | |||
3,161 | Scholastic Corp. | 136,524 | |||
3,570,189 | |||||
Metals & Mining — 0.9% | |||||
1,270 | Alpha Metallurgical Resources, Inc. | 219,989 | |||
17,282 | Cleveland-Cliffs, Inc. (a) | 305,027 | |||
3,350 | Newmont Corp. | 143,782 | |||
4,815 | Ryerson Holding Corp. | 204,589 | |||
14,477 | United States Steel Corp. | 369,164 | |||
5,362 | Warrior Met Coal, Inc. | 237,269 | |||
1,203 | Worthington Industries, Inc. | 89,768 | |||
1,569,588 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Mortgage REITs — 0.7% | |||||
8,298 | Arbor Realty Trust, Inc. (b) | $140,319 | |||
6,960 | Blackstone Mortgage Trust, Inc., Class A | 160,010 | |||
10,843 | Claros Mortgage Trust, Inc. | 133,586 | |||
15,402 | Ladder Capital Corp. | 169,268 | |||
7,408 | Ready Capital Corp. | 85,711 | |||
23,235 | Rithm Capital Corp. | 234,209 | |||
11,199 | Starwood Property Trust, Inc. | 232,267 | |||
1,155,370 | |||||
Multi-Utilities — 2.8% | |||||
5,250 | Ameren Corp. | 449,768 | |||
3,132 | Avista Corp. | 121,020 | |||
3,606 | Black Hills Corp. | 217,550 | |||
14,709 | CenterPoint Energy, Inc. | 442,594 | |||
4,996 | CMS Energy Corp. | 305,106 | |||
8,119 | Consolidated Edison, Inc. | 770,168 | |||
8,279 | Dominion Energy, Inc. | 443,340 | |||
3,897 | DTE Energy Co. | 445,427 | |||
2,167 | NorthWestern Corp. | 122,371 | |||
9,378 | Public Service Enterprise Group, Inc. | 591,939 | |||
4,032 | Sempra | 600,849 | |||
3,328 | WEC Energy Group, Inc. | 299,054 | |||
4,809,186 | |||||
Office REITs — 1.9% | |||||
5,175 | Alexandria Real Estate Equities, Inc. | 650,394 | |||
5,030 | Boston Properties, Inc. | 335,149 | |||
12,705 | Cousins Properties, Inc. | 310,383 | |||
9,782 | Douglas Emmett, Inc. | 143,795 | |||
2,828 | Easterly Government Properties, Inc. | 41,741 | |||
4,124 | Equity Commonwealth | 80,789 | |||
8,736 | Highwoods Properties, Inc. | 220,759 | |||
49,500 | Hudson Pacific Properties, Inc. | 290,565 | |||
13,889 | JBG SMITH Properties | 232,363 | |||
12,032 | Kilroy Realty Corp. | 429,543 | |||
37,723 | Paramount Group, Inc. | 197,669 | |||
28,732 | Piedmont Office Realty Trust, Inc., Class A | 213,766 | |||
2,782 | SL Green Realty Corp. (b) | 104,909 | |||
3,251,825 | |||||
Oil, Gas & Consumable Fuels — 5.1% | |||||
1,853 | Arch Resources, Inc. | 237,999 | |||
4,613 | California Resources Corp. | 246,104 | |||
5,957 | Callon Petroleum Co. (a) | 223,745 | |||
4,327 | Chesapeake Energy Corp. | 364,939 | |||
2,355 | Chord Energy Corp. | 369,358 | |||
6,977 | Delek US Holdings, Inc. | 192,495 |
Shares | Description | Value | |||
Oil, Gas & Consumable Fuels (Continued) | |||||
5,844 | DT Midstream, Inc. | $312,771 | |||
1,989 | Gulfport Energy Corp. (a) | 203,773 | |||
8,117 | HF Sinclair Corp. | 422,815 | |||
31,883 | Marathon Oil Corp. | 837,566 | |||
6,294 | Marathon Petroleum Corp. | 837,228 | |||
19,279 | Ovintiv, Inc. | 888,569 | |||
7,849 | Par Pacific Holdings, Inc. (a) | 247,086 | |||
8,845 | PBF Energy, Inc., Class A | 419,607 | |||
16,717 | Peabody Energy Corp. | 375,129 | |||
7,695 | Phillips 66 | 858,377 | |||
11,447 | SM Energy Co. | 415,412 | |||
60,245 | Southwestern Energy Co. (a) | 390,388 | |||
6,257 | Valero Energy Corp. | 806,590 | |||
10,100 | World Kinect Corp. | 227,654 | |||
8,877,605 | |||||
Paper & Forest Products — 0.2% | |||||
2,897 | Louisiana-Pacific Corp. | 220,549 | |||
4,131 | Sylvamo Corp. | 202,708 | |||
423,257 | |||||
Passenger Airlines — 0.6% | |||||
325 | Allegiant Travel Co. (a) | 40,203 | |||
9,431 | JetBlue Airways Corp. (a) | 73,279 | |||
8,108 | Southwest Airlines Co. | 276,969 | |||
10,700 | United Airlines Holdings, Inc. (a) | 581,117 | |||
971,568 | |||||
Personal Care Products — 0.3% | |||||
2,023 | Edgewell Personal Care Co. | 79,727 | |||
9,288 | Herbalife Ltd. (a) | 150,837 | |||
1,334 | Medifast, Inc. | 135,921 | |||
3,703 | Nu Skin Enterprises, Inc., Class A | 108,831 | |||
475,316 | |||||
Pharmaceuticals — 0.8% | |||||
21,596 | Elanco Animal Health, Inc. (a) | 260,664 | |||
569 | Ligand Pharmaceuticals, Inc. (a) | 38,083 | |||
10,439 | Organon & Co. | 229,449 | |||
2,134 | Perrigo Co. PLC | 78,190 | |||
2,781 | Supernus Pharmaceuticals, Inc. (a) | 85,349 | |||
73,540 | Viatris, Inc. | 774,376 | |||
1,466,111 | |||||
Professional Services — 1.7% | |||||
2,873 | ASGN, Inc. (a) | 219,267 | |||
425 | CACI International, Inc., Class A (a) | 148,937 | |||
4,485 | Concentrix Corp. | 373,331 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Professional Services (Continued) | |||||
777 | CSG Systems International, Inc. | $40,085 | |||
12,518 | Dun & Bradstreet Holdings, Inc. | 147,963 | |||
2,660 | First Advantage Corp. (a) | 39,900 | |||
1,927 | Genpact Ltd. | 69,545 | |||
3,607 | Jacobs Solutions, Inc. | 452,354 | |||
655 | Kforce, Inc. | 41,553 | |||
4,847 | Leidos Holdings, Inc. | 453,340 | |||
2,737 | ManpowerGroup, Inc. | 215,895 | |||
1,925 | Robert Half, Inc. | 142,739 | |||
644 | Science Applications International Corp. | 78,143 | |||
4,845 | SS&C Technologies Holdings, Inc. | 282,221 | |||
1,525 | TriNet Group, Inc. (a) | 160,476 | |||
2,468 | TTEC Holdings, Inc. | 84,998 | |||
2,950,747 | |||||
Real Estate Management & Development — 0.5% | |||||
3,637 | CBRE Group, Inc., Class A (a) | 302,999 | |||
1,395 | Jones Lang LaSalle, Inc. (a) | 232,337 | |||
2,651 | Marcus & Millichap, Inc. | 97,239 | |||
33,584 | Newmark Group, Inc., Class A | 232,401 | |||
864,976 | |||||
Residential REITs — 0.6% | |||||
8,027 | Apartment Income REIT Corp. | 277,253 | |||
1,551 | AvalonBay Communities, Inc. | 292,596 | |||
4,450 | Equity Residential | 293,433 | |||
611 | Essex Property Trust, Inc. | 148,809 | |||
1,012,091 | |||||
Retail REITs — 0.2% | |||||
2,848 | Acadia Realty Trust | 44,742 | |||
5,313 | InvenTrust Properties Corp. | 129,319 | |||
7,247 | Kimco Realty Corp. | 146,824 | |||
320,885 | |||||
Semiconductors & Semiconductor Equipment — 1.3% | |||||
12,170 | Amkor Technology, Inc. | 354,025 | |||
2,010 | Cohu, Inc. (a) | 87,736 | |||
4,274 | Intel Corp. | 152,881 | |||
2,265 | Micron Technology, Inc. | 161,698 | |||
669 | MKS Instruments, Inc. | 73,035 | |||
3,603 | QUALCOMM, Inc. | 476,209 | |||
5,305 | Skyworks Solutions, Inc. | 606,733 | |||
2,545 | Synaptics, Inc. (a) | 229,839 | |||
1,284 | Teradyne, Inc. | 145,015 | |||
2,287,171 |
Shares | Description | Value | |||
Software — 0.3% | |||||
1,770 | ACI Worldwide, Inc. (a) | $41,046 | |||
2,695 | Consensus Cloud Solutions, Inc. (a) | 87,345 | |||
9,003 | Digital Turbine, Inc. (a) | 97,593 | |||
865 | Dolby Laboratories, Inc., Class A | 76,648 | |||
865 | InterDigital, Inc. | 80,177 | |||
5,747 | NCR Corp. (a) | 154,479 | |||
537,288 | |||||
Specialized REITs — 0.4% | |||||
1,256 | Digital Realty Trust, Inc. | 156,523 | |||
2,740 | PotlatchDeltic Corp. | 146,946 | |||
12,796 | Weyerhaeuser Co. | 435,832 | |||
739,301 | |||||
Specialty Retail — 3.0% | |||||
1,087 | Abercrombie & Fitch Co., Class A (a) | 43,056 | |||
4,119 | Advance Auto Parts, Inc. | 306,412 | |||
10,420 | American Eagle Outfitters, Inc. | 146,401 | |||
1,505 | Asbury Automotive Group, Inc. (a) | 339,528 | |||
1,760 | AutoNation, Inc. (a) | 283,325 | |||
3,862 | Bath & Body Works, Inc. | 143,126 | |||
5,232 | Best Buy Co., Inc. | 434,518 | |||
13,357 | Foot Locker, Inc. | 358,903 | |||
16,218 | Gap (The), Inc. | 167,045 | |||
808 | Group 1 Automotive, Inc. | 208,892 | |||
6,323 | Guess?, Inc. | 132,720 | |||
1,190 | Lithia Motors, Inc. | 369,531 | |||
633 | Lowe’s Cos., Inc. | 148,293 | |||
3,568 | ODP (The) Corp. (a) | 177,972 | |||
1,738 | Penske Automotive Group, Inc. | 280,548 | |||
2,500 | Revolve Group, Inc. (a) | 49,300 | |||
219 | RH (a) | 85,009 | |||
9,958 | Sally Beauty Holdings, Inc. (a) | 119,197 | |||
5,547 | Signet Jewelers Ltd. | 446,478 | |||
859 | Sonic Automotive, Inc., Class A | 41,137 | |||
646 | Tractor Supply Co. | 144,697 | |||
1,316 | Upbound Group, Inc. | 45,573 | |||
5,043 | Urban Outfitters, Inc. (a) | 183,414 | |||
12,464 | Victoria’s Secret & Co. (a) | 255,387 | |||
2,315 | Williams-Sonoma, Inc. | 320,952 | |||
5,231,414 | |||||
Technology Hardware, Storage & Peripherals — 0.9% | |||||
1,339 | Dell Technologies, Inc., Class C | 70,860 | |||
43,686 | Hewlett Packard Enterprise Co. | 759,263 | |||
9,559 | HP, Inc. | 313,822 | |||
5,612 | NetApp, Inc. | 437,792 | |||
2,752 | Xerox Holdings Corp. | 43,977 | |||
1,625,714 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Textiles, Apparel & Luxury Goods — 0.7% | |||||
1,151 | Carter’s, Inc. | $86,337 | |||
5,790 | Levi Strauss & Co., Class A | 87,255 | |||
2,556 | PVH Corp. | 229,120 | |||
1,174 | Ralph Lauren Corp. | 154,181 | |||
2,750 | Skechers U.S.A., Inc., Class A (a) | 152,845 | |||
2,555 | Steven Madden Ltd. | 85,286 | |||
50,149 | Under Armour, Inc., Class A (a) | 404,201 | |||
3,794 | VF Corp. | 75,159 | |||
1,274,384 | |||||
Tobacco — 0.1% | |||||
4,183 | Universal Corp. | 211,534 | |||
Trading Companies & Distributors — 0.9% | |||||
8,652 | Air Lease Corp. | 366,326 | |||
2,313 | Boise Cascade Co. | 239,372 | |||
1,126 | GATX Corp. | 141,155 | |||
2,279 | MSC Industrial Direct Co., Inc., Class A | 229,997 | |||
16,130 | NOW, Inc. (a) | 183,721 | |||
2,751 | Rush Enterprises, Inc., Class A | 177,935 | |||
1,663 | Veritiv Corp. | 233,036 | |||
1,571,542 | |||||
Water Utilities — 0.0% | |||||
794 | California Water Service Group | 42,098 | |||
Wireless Telecommunication Services — 0.4% | |||||
25,381 | Telephone and Data Systems, Inc. | 203,556 | |||
2,113 | T-Mobile US, Inc. (a) | 291,108 | |||
11,848 | United States Cellular Corp. (a) | 209,828 | |||
704,492 | |||||
Total Common Stocks | 174,032,375 | ||||
(Cost $168,470,468) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
144,211 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | 144,211 | |||
103,343 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (d) | 103,343 | |||
Total Money Market Funds | 247,554 | ||||
(Cost $247,554) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 0.8% | |||||
$1,425,781 | BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $1,425,989. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $1,454,329. (e) | $1,425,781 | |||
(Cost $1,425,781) | |||||
Total Investments — 100.9% | 175,705,710 | ||||
(Cost $170,143,803) | |||||
Net Other Assets and Liabilities — (0.9)% | (1,621,273 ) | ||||
Net Assets — 100.0% | $174,084,437 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $1,517,033 and the total value of the collateral held by the Fund is $1,569,992. |
(c) | Non-income producing security which makes payment-in- kind (“PIK”) distributions. For the fiscal year ended July 31, 2023, the Fund received 115 PIK shares of Summit Materials, Inc. |
(d) | Rate shown reflects yield as of July 31, 2023. |
(e) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $174,032,375 | $174,032,375 | $— | $— |
Money Market Funds | 247,554 | 247,554 | — | — |
Repurchase Agreements | 1,425,781 | — | 1,425,781 | — |
Total Investments | $175,705,710 | $174,279,929 | $1,425,781 | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $1,517,033 |
Non-cash Collateral(2) | (1,517,033 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $1,425,781 |
Non-cash Collateral(4) | (1,425,781 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 2.5% | |||||
1,743 | AeroVironment, Inc. (a) | $166,038 | |||
2,345 | Axon Enterprise, Inc. (a) | 436,006 | |||
2,967 | Boeing (The) Co. (a) | 708,668 | |||
3,239 | BWX Technologies, Inc. | 223,491 | |||
1,262 | Curtiss-Wright Corp. | 241,497 | |||
2,586 | HEICO Corp. | 455,084 | |||
4,065 | Hexcel Corp. | 287,314 | |||
15,799 | Howmet Aerospace, Inc. | 807,961 | |||
37,143 | Rocket Lab USA, Inc. (a) | 273,744 | |||
5,294 | Spirit AeroSystems Holdings, Inc., Class A | 168,455 | |||
875 | TransDigm Group, Inc. | 787,255 | |||
4,555,513 | |||||
Air Freight & Logistics — 0.1% | |||||
841 | Forward Air Corp. | 99,944 | |||
Automobile Components — 0.6% | |||||
1,424 | Fox Factory Holding Corp. (a) | 159,346 | |||
19,069 | Luminar Technologies, Inc. (a) (b) | 141,111 | |||
6,749 | Modine Manufacturing Co. (a) | 253,492 | |||
2,152 | Visteon Corp. (a) | 331,602 | |||
2,646 | XPEL, Inc. (a) (c) | 214,934 | |||
1,100,485 | |||||
Automobiles — 0.7% | |||||
4,388 | Harley-Davidson, Inc. | 169,421 | |||
9,153 | Rivian Automotive, Inc., Class A (a) | 252,989 | |||
2,991 | Tesla, Inc. (a) | 799,883 | |||
1,222,293 | |||||
Banks — 0.2% | |||||
1,426 | BancFirst Corp. | 142,457 | |||
486 | City Holding Co. | 48,070 | |||
1,436 | Cullen/Frost Bankers, Inc. | 155,921 | |||
1,608 | S&T Bancorp, Inc. | 50,781 | |||
397,229 | |||||
Beverages — 0.6% | |||||
2,590 | Celsius Holdings, Inc. (a) | 374,773 | |||
839 | MGP Ingredients, Inc. | 95,654 | |||
5,453 | Monster Beverage Corp. (a) | 313,493 | |||
1,691 | PepsiCo, Inc. | 316,995 | |||
1,100,915 | |||||
Biotechnology — 2.6% | |||||
7,444 | ACADIA Pharmaceuticals, Inc. (a) | 217,663 | |||
6,295 | Agios Pharmaceuticals, Inc. (a) | 166,943 | |||
4,936 | Alkermes PLC (a) | 144,526 | |||
6,152 | Amicus Therapeutics, Inc. (a) | 83,790 |
Shares | Description | Value | |||
Biotechnology (Continued) | |||||
3,392 | Apellis Pharmaceuticals, Inc. (a) | $87,344 | |||
7,628 | Bridgebio Pharma, Inc. (a) | 267,056 | |||
6,633 | Catalyst Pharmaceuticals, Inc. (a) | 91,734 | |||
1,376 | CRISPR Therapeutics AG (a) | 78,886 | |||
17,249 | Dynavax Technologies Corp. (a) | 241,314 | |||
4,114 | Exact Sciences Corp. (a) | 401,280 | |||
4,043 | Exelixis, Inc. (a) | 79,688 | |||
40,871 | Geron Corp. (a) | 132,422 | |||
4,225 | Insmed, Inc. (a) | 93,330 | |||
1,895 | Intellia Therapeutics, Inc. (a) | 80,215 | |||
1,883 | Ionis Pharmaceuticals, Inc. (a) | 78,013 | |||
712 | Karuna Therapeutics, Inc. (a) | 142,236 | |||
10,748 | MannKind Corp. (a) | 49,118 | |||
3,887 | Morphic Holding, Inc. (a) | 220,510 | |||
1,588 | Natera, Inc. (a) | 71,809 | |||
1,922 | Prothena Corp. PLC (a) | 132,368 | |||
2,192 | PTC Therapeutics, Inc. (a) | 88,425 | |||
11,933 | Recursion Pharmaceuticals, Inc., Class A (a) | 168,494 | |||
3,333 | REVOLUTION Medicines, Inc. (a) | 87,491 | |||
5,406 | Rhythm Pharmaceuticals, Inc. (a) | 96,443 | |||
22,994 | Roivant Sciences Ltd. (a) | 275,468 | |||
3,792 | Sage Therapeutics, Inc. (a) | 131,507 | |||
7,178 | TG Therapeutics, Inc. (a) | 148,513 | |||
4,357 | Twist Bioscience Corp. (a) | 106,049 | |||
948 | Ultragenyx Pharmaceutical, Inc. (a) | 40,878 | |||
5,151 | Veracyte, Inc. (a) | 141,395 | |||
4,745 | Vericel Corp. (a) | 170,441 | |||
1,300 | Vertex Pharmaceuticals, Inc. (a) | 458,042 | |||
4,773,391 | |||||
Broadline Retail — 0.1% | |||||
710 | Dillard’s, Inc., Class A | 243,558 | |||
Building Products — 2.5% | |||||
3,259 | AAON, Inc. | 343,042 | |||
2,716 | Advanced Drainage Systems, Inc. | 331,325 | |||
1,931 | Allegion PLC | 225,657 | |||
2,103 | Armstrong World Industries, Inc. | 162,688 | |||
10,203 | AZEK (The) Co., Inc. (a) | 318,334 | |||
2,841 | Builders FirstSource, Inc. (a) | 410,326 | |||
2,442 | Carlisle Cos., Inc. | 676,922 | |||
1,341 | CSW Industrials, Inc. | 242,117 | |||
5,530 | Griffon Corp. | 230,712 | |||
6,938 | Hayward Holdings, Inc. (a) | 92,692 | |||
16,725 | Janus International Group, Inc. (a) | 190,999 | |||
1,185 | Lennox International, Inc. | 435,416 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Building Products (Continued) | |||||
4,040 | Masco Corp. | $245,147 | |||
3,275 | Trane Technologies PLC | 653,166 | |||
4,558,543 | |||||
Capital Markets — 2.7% | |||||
515 | Affiliated Managers Group, Inc. | 71,400 | |||
1,377 | Ameriprise Financial, Inc. | 479,816 | |||
4,748 | Ares Management Corp., Class A | 471,096 | |||
4,423 | AssetMark Financial Holdings, Inc. (a) | 132,248 | |||
3,878 | B. Riley Financial, Inc. | 215,345 | |||
1,640 | Blackstone, Inc. | 171,856 | |||
2,690 | Charles Schwab (The) Corp. | 177,809 | |||
380 | FactSet Research Systems, Inc. | 165,315 | |||
2,229 | Hamilton Lane, Inc., Class A | 197,110 | |||
3,720 | Interactive Brokers Group, Inc., Class A | 324,868 | |||
2,723 | KKR & Co., Inc. | 161,692 | |||
2,104 | LPL Financial Holdings, Inc. | 482,573 | |||
901 | Moody’s Corp. | 317,828 | |||
2,057 | Northern Trust Corp. | 164,807 | |||
628 | PJT Partners, Inc., Class A | 49,807 | |||
4,408 | Raymond James Financial, Inc. | 485,188 | |||
7,741 | Robinhood Markets, Inc., Class A (a) | 99,549 | |||
1,563 | S&P Global, Inc. | 616,619 | |||
1,296 | SEI Investments Co. | 81,635 | |||
1,495 | TPG, Inc. | 43,998 | |||
4,910,559 | |||||
Chemicals — 1.9% | |||||
1,045 | Air Products and Chemicals, Inc. | 319,070 | |||
2,051 | Albemarle Corp. | 435,386 | |||
9,419 | Axalta Coating Systems Ltd. (a) | 301,408 | |||
1,146 | Balchem Corp. | 154,412 | |||
1,155 | Cabot Corp. | 82,005 | |||
2,196 | CF Industries Holdings, Inc. | 180,248 | |||
8,377 | Chemours (The) Co. | 309,781 | |||
3,355 | Ecolab, Inc. | 614,435 | |||
23,519 | Ginkgo Bioworks Holdings, Inc. (a) (b) | 59,033 | |||
752 | Ingevity Corp. (a) | 48,143 | |||
1,306 | Innospec, Inc. | 139,925 | |||
14,083 | Livent Corp. (a) | 346,723 | |||
8,402 | Orion S.A. | 184,172 | |||
1,722 | RPM International, Inc. | 177,900 | |||
3,352,641 | |||||
Commercial Services & Supplies — 2.2% | |||||
2,091 | ABM Industries, Inc. | 96,771 | |||
2,628 | Brink’s (The) Co. | 191,739 |
Shares | Description | Value | |||
Commercial Services & Supplies (Continued) | |||||
2,562 | Casella Waste Systems, Inc., Class A (a) | $206,728 | |||
920 | Cintas Corp. | 461,877 | |||
2,350 | Clean Harbors, Inc. (a) | 390,711 | |||
6,868 | Copart, Inc. (a) | 607,063 | |||
2,855 | Driven Brands Holdings, Inc. (a) | 73,859 | |||
2,117 | Montrose Environmental Group, Inc. (a) | 85,675 | |||
1,776 | MSA Safety, Inc. | 294,816 | |||
4,090 | Republic Services, Inc. | 618,040 | |||
10,680 | Rollins, Inc. | 436,064 | |||
1,415 | Tetra Tech, Inc. | 239,432 | |||
1,806 | Waste Management, Inc. | 295,805 | |||
3,998,580 | |||||
Communications Equipment — 1.0% | |||||
3,865 | Arista Networks, Inc. (a) | 599,423 | |||
3,096 | Calix, Inc. (a) | 139,661 | |||
7,771 | CommScope Holding Co., Inc. (a) | 34,969 | |||
4,526 | Digi International, Inc. (a) | 189,775 | |||
8,555 | Extreme Networks, Inc. (a) | 227,477 | |||
11,026 | Harmonic, Inc. (a) | 164,508 | |||
1,560 | Motorola Solutions, Inc. | 447,143 | |||
1,802,956 | |||||
Construction & Engineering — 1.6% | |||||
1,825 | AECOM | 158,775 | |||
1,833 | Ameresco, Inc., Class A (a) | 106,699 | |||
14,171 | API Group Corp. (a) | 407,558 | |||
2,353 | Comfort Systems USA, Inc. | 409,351 | |||
1,961 | Dycom Industries, Inc. (a) | 195,276 | |||
2,091 | EMCOR Group, Inc. | 449,649 | |||
3,986 | Quanta Services, Inc. | 803,657 | |||
531 | Valmont Industries, Inc. | 140,582 | |||
4,850 | WillScot Mobile Mini Holdings Corp. (a) | 232,558 | |||
2,904,105 | |||||
Construction Materials — 0.2% | |||||
2,072 | Eagle Materials, Inc. | 382,015 | |||
Consumer Finance — 0.5% | |||||
3,312 | FirstCash Holdings, Inc. | 315,567 | |||
46,318 | SoFi Technologies, Inc. (a) | 530,341 | |||
845,908 | |||||
Consumer Staples Distribution & Retail — 0.4% | |||||
1,268 | Casey’s General Stores, Inc. | 320,373 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Consumer Staples Distribution & Retail (Continued) | |||||
4,986 | Chefs’ Warehouse (The), Inc. (a) | $181,191 | |||
2,055 | Sysco Corp. | 156,817 | |||
658,381 | |||||
Containers & Packaging — 0.2% | |||||
9,646 | Graphic Packaging Holding Co. | 233,433 | |||
2,243 | Greif, Inc., Class A | 165,915 | |||
399,348 | |||||
Distributors — 0.2% | |||||
2,703 | Genuine Parts Co. | 420,911 | |||
Diversified Consumer Services — 0.3% | |||||
1,273 | Adtalem Global Education, Inc. (a) | 55,045 | |||
1,247 | Duolingo, Inc. (a) | 193,522 | |||
9,238 | Mister Car Wash, Inc. (a) | 91,733 | |||
12,227 | Udemy, Inc. (a) | 144,401 | |||
484,701 | |||||
Diversified Telecommunication Services — 0.2% | |||||
1,325 | Cogent Communications Holdings, Inc. | 81,143 | |||
3,731 | Iridium Communications, Inc. | 196,064 | |||
277,207 | |||||
Electric Utilities — 1.0% | |||||
8,553 | Constellation Energy Corp. | 826,647 | |||
1,127 | MGE Energy, Inc. | 90,430 | |||
2,152 | OGE Energy Corp. | 77,795 | |||
2,258 | Otter Tail Corp. | 182,921 | |||
36,251 | PG&E Corp. (a) | 638,380 | |||
1,816,173 | |||||
Electrical Equipment — 1.9% | |||||
2,825 | AMETEK, Inc. | 448,045 | |||
9,861 | Array Technologies, Inc. (a) | 187,852 | |||
2,477 | Atkore, Inc. (a) | 393,026 | |||
3,894 | Eaton Corp. PLC | 799,516 | |||
1,199 | Encore Wire Corp. | 204,657 | |||
8,366 | Fluence Energy, Inc. (a) | 244,622 | |||
2,361 | Hubbell, Inc. | 736,632 | |||
3,487 | Shoals Technologies Group, Inc., Class A (a) | 90,522 | |||
15,585 | Stem, Inc. (a) (b) | 110,186 | |||
1,651 | Vicor Corp. (a) | 152,338 | |||
3,367,396 | |||||
Electronic Equipment, Instruments & Components — 1.4% | |||||
5,385 | Amphenol Corp., Class A | 475,549 |
Shares | Description | Value | |||
Electronic Equipment, Instruments & Components (Continued) | |||||
2,095 | Badger Meter, Inc. | $344,921 | |||
4,039 | Belden, Inc. | 390,329 | |||
2,758 | Cognex Corp. | 150,642 | |||
2,092 | CTS Corp. | 93,366 | |||
910 | Keysight Technologies, Inc. (a) | 146,583 | |||
4,937 | Knowles Corp. (a) | 90,199 | |||
796 | Littelfuse, Inc. | 242,461 | |||
3,264 | TE Connectivity Ltd. | 468,351 | |||
371 | Teledyne Technologies, Inc. (a) | 142,661 | |||
2,545,062 | |||||
Energy Equipment & Services — 2.3% | |||||
3,651 | Cactus, Inc., Class A | 185,398 | |||
9,956 | ChampionX Corp. | 354,434 | |||
15,651 | Diamond Offshore Drilling, Inc. (a) | 247,755 | |||
10,061 | Expro Group Holdings N.V. (a) | 223,254 | |||
13,867 | Halliburton Co. | 541,922 | |||
24,159 | Helix Energy Solutions Group, Inc. (a) | 231,926 | |||
4,359 | Helmerich & Payne, Inc. | 195,152 | |||
13,335 | Liberty Energy, Inc. | 219,628 | |||
470 | Nabors Industries Ltd. (a) | 57,570 | |||
12,909 | Patterson-UTI Energy, Inc. | 204,479 | |||
3,918 | ProFrac Holding Corp., Class A (a) | 50,425 | |||
12,468 | RPC, Inc. | 103,734 | |||
9,313 | Schlumberger Ltd. | 543,320 | |||
4,020 | Tidewater, Inc. (a) | 253,702 | |||
3,683 | Valaris Ltd. (a) | 282,854 | |||
5,816 | Weatherford International PLC (a) | 483,310 | |||
4,178,863 | |||||
Entertainment — 1.0% | |||||
13,507 | Cinemark Holdings, Inc. (a) | 225,432 | |||
3,230 | Endeavor Group Holdings, Inc., Class A (a) | 76,228 | |||
2,060 | Liberty Media Corp.-Liberty Formula One, Class C (a) | 149,556 | |||
8,595 | Live Nation Entertainment, Inc. (a) | 754,211 | |||
822 | Madison Square Garden Sports Corp. | 174,881 | |||
3,783 | ROBLOX Corp., Class A (a) | 148,483 | |||
8,136 | Sphere Entertainment Co. (a) | 345,373 | |||
1,874,164 | |||||
Financial Services — 2.3% | |||||
10,194 | Apollo Global Management, Inc. | 832,952 | |||
17,177 | AvidXchange Holdings, Inc. (a) | 213,167 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Financial Services (Continued) | |||||
1,550 | Federal Agricultural Mortgage Corp., Class C | $249,162 | |||
4,966 | Fiserv, Inc. (a) | 626,759 | |||
5,744 | Flywire Corp. (a) | 196,100 | |||
8,983 | Marqeta, Inc., Class A (a) | 50,125 | |||
796 | Mastercard, Inc., Class A | 313,847 | |||
18,533 | Payoneer Global, Inc. (a) | 98,596 | |||
11,842 | Remitly Global, Inc. (a) | 228,314 | |||
4,550 | Shift4 Payments, Inc., Class A (a) | 313,904 | |||
17,115 | Toast, Inc., Class A (a) | 377,728 | |||
1,319 | Visa, Inc., Class A | 313,566 | |||
1,273 | WEX, Inc. (a) | 241,042 | |||
4,055,262 | |||||
Food Products — 1.2% | |||||
1,981 | Cal-Maine Foods, Inc. | 91,502 | |||
3,634 | Darling Ingredients, Inc. (a) | 251,655 | |||
1,994 | Freshpet, Inc. (a) | 146,639 | |||
1,254 | Hershey (The) Co. | 290,063 | |||
5,181 | Hostess Brands, Inc. (a) | 124,551 | |||
829 | J & J Snack Foods Corp. | 132,905 | |||
6,812 | Lamb Weston Holdings, Inc. | 705,928 | |||
769 | Lancaster Colony Corp. | 148,132 | |||
11,394 | Sovos Brands, Inc. (a) | 202,813 | |||
1,236 | Tootsie Roll Industries, Inc. | 43,087 | |||
5,449 | Utz Brands, Inc. | 91,271 | |||
2,228,546 | |||||
Gas Utilities — 0.1% | |||||
368 | Chesapeake Utilities Corp. | 43,512 | |||
1,504 | National Fuel Gas Co. | 79,878 | |||
123,390 | |||||
Ground Transportation — 2.3% | |||||
1,690 | Avis Budget Group, Inc. (a) | 372,290 | |||
18,370 | CSX Corp. | 612,088 | |||
1,204 | Landstar System, Inc. | 245,122 | |||
8,056 | Lyft, Inc., Class A (a) | 102,392 | |||
8,293 | Marten Transport Ltd. | 187,919 | |||
1,381 | Norfolk Southern Corp. | 322,588 | |||
1,695 | Old Dominion Freight Line, Inc. | 711,036 | |||
1,128 | Saia, Inc. (a) | 477,302 | |||
18,138 | Uber Technologies, Inc. (a) | 897,106 | |||
745 | Union Pacific Corp. | 172,855 | |||
4,100,698 | |||||
Health Care Equipment & Supplies — 3.4% | |||||
1,399 | Abbott Laboratories | 155,751 | |||
12,395 | Alphatec Holdings, Inc. (a) | 219,020 | |||
2,657 | AtriCure, Inc. (a) | 147,065 |
Shares | Description | Value | |||
Health Care Equipment & Supplies (Continued) | |||||
8,458 | Boston Scientific Corp. (a) | $438,547 | |||
4,874 | Dexcom, Inc. (a) | 607,105 | |||
1,616 | Edwards Lifesciences Corp. (a) | 132,625 | |||
2,504 | Glaukos Corp. (a) | 193,158 | |||
2,723 | Haemonetics Corp. (a) | 251,169 | |||
304 | IDEXX Laboratories, Inc. (a) | 168,638 | |||
1,190 | Inspire Medical Systems, Inc. (a) | 342,494 | |||
529 | Insulet Corp. (a) | 146,401 | |||
1,832 | Intuitive Surgical, Inc. (a) | 594,301 | |||
419 | iRhythm Technologies, Inc. (a) | 44,020 | |||
3,682 | Lantheus Holdings, Inc. (a) | 318,456 | |||
2,771 | Merit Medical Systems, Inc. (a) | 206,911 | |||
4,077 | Outset Medical, Inc. (a) | 83,905 | |||
2,466 | Paragon 28, Inc. (a) | 43,574 | |||
898 | Penumbra, Inc. (a) | 272,417 | |||
2,522 | PROCEPT BioRobotics Corp. (a) | 86,858 | |||
698 | ResMed, Inc. | 155,200 | |||
1,353 | Shockwave Medical, Inc. (a) | 352,592 | |||
1,500 | Stryker Corp. | 425,115 | |||
2,654 | TransMedics Group, Inc. (a) | 247,300 | |||
5,129 | Treace Medical Concepts, Inc. (a) | 116,890 | |||
3,142 | Zimmer Biomet Holdings, Inc. | 434,067 | |||
6,183,579 | |||||
Health Care Providers & Services — 2.3% | |||||
1,940 | Acadia Healthcare Co., Inc. (a) | 153,318 | |||
3,593 | AdaptHealth Corp. (a) | 49,368 | |||
472 | Addus HomeCare Corp. (a) | 43,221 | |||
2,652 | Agiliti, Inc. (a) | 45,535 | |||
4,457 | agilon health, Inc. (a) | 85,351 | |||
7,608 | Alignment Healthcare, Inc. (a) | 47,246 | |||
2,124 | AMN Healthcare Services, Inc. (a) | 227,587 | |||
8,280 | Cardinal Health, Inc. | 757,372 | |||
143 | Chemed Corp. | 74,516 | |||
677 | CorVel Corp. (a) | 138,487 | |||
2,428 | Ensign Group (The), Inc. | 235,200 | |||
3,665 | Guardant Health, Inc. (a) | 143,008 | |||
2,580 | HCA Healthcare, Inc. | 703,850 | |||
1,224 | HealthEquity, Inc. (a) | 83,159 | |||
23,709 | Hims & Hers Health, Inc. (a) | 212,670 | |||
24,410 | LifeStance Health Group, Inc. (a) | 229,210 | |||
1,006 | National Research Corp. | 43,167 | |||
7,134 | Option Care Health, Inc. (a) | 240,986 | |||
3,415 | Privia Health Group, Inc. (a) | 95,347 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Health Care Providers & Services (Continued) | |||||
5,665 | Progyny, Inc. (a) | $236,570 | |||
6,832 | RadNet, Inc. (a) | 226,003 | |||
4,071,171 | |||||
Health Care REITs — 0.2% | |||||
2,202 | CareTrust REIT, Inc. | 45,780 | |||
2,518 | Omega Healthcare Investors, Inc. | 80,324 | |||
3,872 | Welltower, Inc. | 318,085 | |||
444,189 | |||||
Health Care Technology — 0.5% | |||||
3,977 | Definitive Healthcare Corp. (a) | 47,048 | |||
2,271 | Doximity, Inc., Class A (a) | 81,143 | |||
2,942 | Evolent Health, Inc., Class A (a) | 89,407 | |||
2,697 | NextGen Healthcare, Inc. (a) | 44,851 | |||
2,875 | Phreesia, Inc. (a) | 91,195 | |||
4,465 | Schrodinger, Inc. (a) | 233,564 | |||
3,052 | Teladoc Health, Inc. (a) | 90,858 | |||
771 | Veeva Systems, Inc., Class A (a) | 157,454 | |||
835,520 | |||||
Hotel & Resort REITs — 1.0% | |||||
5,113 | Apple Hospitality REIT, Inc. | 79,252 | |||
16,379 | DiamondRock Hospitality Co. | 139,222 | |||
27,181 | Host Hotels & Resorts, Inc. | 500,130 | |||
9,412 | Pebblebrook Hotel Trust | 145,415 | |||
12,775 | RLJ Lodging Trust | 131,583 | |||
3,326 | Ryman Hospitality Properties, Inc. | 316,935 | |||
20,516 | Service Properties Trust | 174,181 | |||
17,618 | Sunstone Hotel Investors, Inc. | 179,527 | |||
7,242 | Xenia Hotels & Resorts, Inc. | 91,973 | |||
1,758,218 | |||||
Hotels, Restaurants & Leisure — 8.7% | |||||
4,888 | Airbnb, Inc., Class A (a) | 743,905 | |||
7,178 | Aramark | 289,776 | |||
8,288 | Bloomin’ Brands, Inc. | 222,699 | |||
290 | Booking Holdings, Inc. (a) | 861,532 | |||
3,758 | Bowlero Corp. (a) | 45,585 | |||
4,455 | Boyd Gaming Corp. | 304,366 | |||
4,871 | Brinker International, Inc. (a) | 191,333 | |||
6,063 | Caesars Entertainment, Inc. (a) | 357,838 | |||
20,515 | Carnival Corp. (a) | 386,503 | |||
5,156 | Cheesecake Factory (The), Inc. | 189,638 | |||
366 | Chipotle Mexican Grill, Inc. (a) | 718,194 | |||
1,315 | Choice Hotels International, Inc. | 171,936 | |||
2,221 | Churchill Downs, Inc. | 257,303 | |||
4,687 | Darden Restaurants, Inc. | 791,728 |
Shares | Description | Value | |||
Hotels, Restaurants & Leisure (Continued) | |||||
5,001 | Dave & Buster’s Entertainment, Inc. (a) | $229,046 | |||
753 | Dine Brands Global, Inc. | 45,421 | |||
14,538 | DraftKings, Inc., Class A (a) | 462,018 | |||
1,537 | Dutch Bros, Inc., Class A (a) | 47,662 | |||
3,025 | Everi Holdings, Inc. (a) | 44,891 | |||
6,801 | Hilton Grand Vacations, Inc. (a) | 316,247 | |||
4,304 | Hilton Worldwide Holdings, Inc. | 669,229 | |||
3,372 | Hyatt Hotels Corp., Class A | 426,052 | |||
2,285 | Jack in the Box, Inc. | 227,152 | |||
10,801 | Las Vegas Sands Corp. (a) | 646,008 | |||
19,639 | Life Time Group Holdings, Inc. (a) | 355,270 | |||
4,495 | Light & Wonder, Inc. (a) | 315,999 | |||
4,263 | Marriott International, Inc., Class A | 860,316 | |||
1,259 | Marriott Vacations Worldwide Corp. | 161,794 | |||
512 | McDonald’s Corp. | 150,118 | |||
17,829 | MGM Resorts International | 905,178 | |||
1,266 | Monarch Casino & Resort, Inc. | 87,759 | |||
17,744 | Norwegian Cruise Line Holdings Ltd. (a) | 391,610 | |||
592 | Papa John’s International, Inc. | 48,958 | |||
21,903 | Playa Hotels & Resorts N.V. (a) | 178,728 | |||
2,804 | Red Rock Resorts, Inc., Class A | 135,994 | |||
7,548 | Royal Caribbean Cruises Ltd. (a) | 823,562 | |||
13,713 | Sabre Corp. (a) | 56,223 | |||
2,758 | SeaWorld Entertainment, Inc. (a) | 152,710 | |||
2,867 | Shake Shack, Inc., Class A (a) | 222,651 | |||
3,431 | Six Flags Entertainment Corp. (a) | 82,001 | |||
1,539 | Starbucks Corp. | 156,316 | |||
13,285 | Target Hospitality Corp. (a) (b) | 169,649 | |||
2,753 | Texas Roadhouse, Inc. | 307,097 | |||
5,746 | Travel + Leisure Co. | 234,035 | |||
921 | Vail Resorts, Inc. | 216,886 | |||
7,104 | Wendy’s (The) Co. | 152,665 | |||
1,544 | Wingstop, Inc. | 260,288 | |||
2,195 | Wynn Resorts Ltd. | 239,211 | |||
2,261 | Yum! Brands, Inc. | 311,272 | |||
15,622,352 | |||||
Household Durables — 0.4% | |||||
1,590 | Installed Building Products, Inc. | 235,352 | |||
2,724 | Skyline Champion Corp. (a) | 189,754 | |||
5,785 | Tempur Sealy International, Inc. | 258,184 | |||
683,290 | |||||
Household Products — 0.1% | |||||
2,655 | Energizer Holdings, Inc. | 94,784 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Independent Power and Renewable Electricity Producers — 0.4% | |||||
7,356 | AES (The) Corp. | $159,110 | |||
8,101 | Altus Power, Inc. (a) | 55,168 | |||
9,737 | Sunnova Energy International, Inc. (a) (b) | 171,955 | |||
14,716 | Vistra Corp. | 412,931 | |||
799,164 | |||||
Industrial Conglomerates — 0.2% | |||||
1,509 | Honeywell International, Inc. | 292,942 | |||
Industrial REITs — 0.1% | |||||
4,784 | Americold Realty Trust, Inc. | 155,097 | |||
1,468 | First Industrial Realty Trust, Inc. | 75,896 | |||
230,993 | |||||
Insurance — 1.2% | |||||
908 | Aon PLC, Class A | 289,198 | |||
2,084 | Arthur J. Gallagher & Co. | 447,643 | |||
3,597 | BRP Group, Inc., Class A (a) | 89,601 | |||
633 | Enstar Group Ltd. (a) | 161,972 | |||
826 | Kinsale Capital Group, Inc. | 307,793 | |||
1,666 | Marsh & McLennan Cos., Inc. | 313,908 | |||
2,261 | Palomar Holdings, Inc. (a) | 136,926 | |||
829 | RenaissanceRe Holdings Ltd. | 154,824 | |||
566 | RLI Corp. | 75,510 | |||
3,442 | Ryan Specialty Holdings, Inc. (a) | 149,176 | |||
2,126,551 | |||||
Interactive Media & Services — 0.5% | |||||
11,244 | Cars.com, Inc. (a) | 256,476 | |||
3,644 | Match Group, Inc. (a) | 169,482 | |||
5,577 | Pinterest, Inc., Class A (a) | 161,677 | |||
5,406 | TripAdvisor, Inc. (a) | 100,822 | |||
10,039 | ZipRecruiter, Inc., Class A (a) | 185,922 | |||
874,379 | |||||
IT Services — 2.0% | |||||
9,583 | Cloudflare, Inc., Class A (a) | 659,023 | |||
4,441 | DigitalOcean Holdings, Inc. (a) | 219,918 | |||
1,788 | Gartner, Inc. (a) | 632,219 | |||
2,030 | GoDaddy, Inc., Class A (a) | 156,493 | |||
1,905 | MongoDB, Inc. (a) | 806,577 | |||
1,574 | Perficient, Inc. (a) | 100,405 | |||
3,559 | Snowflake, Inc., Class A (a) | 632,470 | |||
5,653 | Squarespace, Inc., Class A (a) | 187,340 | |||
1,386 | VeriSign, Inc. (a) | 292,377 | |||
3,686,822 | |||||
Leisure Products — 0.4% | |||||
3,260 | Acushnet Holdings Corp. | 194,394 |
Shares | Description | Value | |||
Leisure Products (Continued) | |||||
2,556 | Polaris, Inc. | $347,207 | |||
7,784 | Topgolf Callaway Brands Corp. (a) | 155,446 | |||
697,047 | |||||
Life Sciences Tools & Services — 0.6% | |||||
2,767 | 10X Genomics, Inc., Class A (a) | 174,266 | |||
1,045 | Bruker Corp. | 71,812 | |||
1,394 | IQVIA Holdings, Inc. (a) | 311,922 | |||
1,608 | Medpace Holdings, Inc. (a) | 407,097 | |||
162 | OmniAb, Inc. - 12.5 Earnout Shares (a) (d) (e) (f) (g) | 0 | |||
162 | OmniAb, Inc. - 15 Earnout Shares (a) (d) (e) (f) (g) | 0 | |||
9,864 | Pacific Biosciences of California, Inc. (a) | 130,303 | |||
1,095,400 | |||||
Machinery — 4.5% | |||||
1,657 | Albany International Corp., Class A | 159,536 | |||
6,842 | Allison Transmission Holdings, Inc. | 401,557 | |||
2,546 | Caterpillar, Inc. | 675,123 | |||
1,129 | Deere & Co. | 485,018 | |||
2,472 | Donaldson Co., Inc. | 155,316 | |||
4,694 | Energy Recovery, Inc. (a) | 143,073 | |||
4,859 | Enerpac Tool Group Corp. | 133,525 | |||
4,644 | Esab Corp. | 319,043 | |||
1,721 | ESCO Technologies, Inc. | 173,047 | |||
3,481 | Federal Signal Corp. | 212,654 | |||
3,003 | Franklin Electric Co., Inc. | 296,756 | |||
2,684 | Graco, Inc. | 212,922 | |||
1,349 | Helios Technologies, Inc. | 85,257 | |||
3,477 | Hillenbrand, Inc. | 180,595 | |||
709 | IDEX Corp. | 160,099 | |||
1,252 | Illinois Tool Works, Inc. | 329,677 | |||
11,980 | Ingersoll Rand, Inc. | 781,935 | |||
2,487 | ITT, Inc. | 247,705 | |||
591 | Kadant, Inc. | 131,704 | |||
1,556 | Lincoln Electric Holdings, Inc. | 312,305 | |||
31,690 | Nikola Corp. (a) (b) | 84,612 | |||
1,262 | Nordson Corp. | 317,532 | |||
3,519 | Otis Worldwide Corp. | 320,088 | |||
710 | RBC Bearings, Inc. (a) | 160,495 | |||
1,260 | Standex International Corp. | 187,198 | |||
6,456 | Terex Corp. | 378,515 | |||
1,520 | Toro (The) Co. | 154,508 | |||
5,103 | Trinity Industries, Inc. | 133,801 | |||
8,692 | Wabash National Corp. | 205,827 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Machinery (Continued) | |||||
1,262 | Watts Water Technologies, Inc., Class A | $235,401 | |||
2,781 | Xylem, Inc. | 313,558 | |||
8,088,382 | |||||
Media — 0.1% | |||||
16,327 | Magnite, Inc. (a) | 247,028 | |||
Metals & Mining — 1.9% | |||||
8,733 | ATI, Inc. (a) | 416,389 | |||
5,868 | Commercial Metals Co. | 335,767 | |||
7,831 | Freeport-McMoRan, Inc. | 349,654 | |||
1,562 | Materion Corp. | 186,097 | |||
3,820 | Nucor Corp. | 657,384 | |||
2,884 | Reliance Steel & Aluminum Co. | 844,608 | |||
5,751 | Steel Dynamics, Inc. | 612,942 | |||
3,402,841 | |||||
Mortgage REITs — 0.6% | |||||
11,583 | Annaly Capital Management, Inc. | 232,702 | |||
19,687 | Apollo Commercial Real Estate Finance, Inc. | 232,307 | |||
7,581 | Chimera Investment Corp. | 47,609 | |||
9,265 | Franklin BSP Realty Trust, Inc. | 132,489 | |||
7,931 | MFA Financial, Inc. | 89,303 | |||
13,225 | New York Mortgage Trust, Inc. | 134,234 | |||
6,614 | PennyMac Mortgage Investment Trust | 84,527 | |||
3,152 | Two Harbors Investment Corp. | 42,268 | |||
995,439 | |||||
Multi-Utilities — 0.0% | |||||
2,824 | NiSource, Inc. | 78,620 | |||
Oil, Gas & Consumable Fuels — 5.4% | |||||
13,320 | Antero Midstream Corp. | 159,041 | |||
3,354 | Antero Resources Corp. (a) | 89,719 | |||
4,463 | APA Corp. | 180,707 | |||
3,002 | Cheniere Energy, Inc. | 485,904 | |||
1,991 | Chevron Corp. | 325,847 | |||
5,568 | Civitas Resources, Inc. | 416,820 | |||
12,577 | CNX Resources Corp. (a) | 256,571 | |||
11,310 | Comstock Resources, Inc. | 144,202 | |||
4,415 | ConocoPhillips | 519,734 | |||
3,286 | CONSOL Energy, Inc. | 244,873 | |||
18,081 | Coterra Energy, Inc. | 497,951 | |||
2,976 | CVR Energy, Inc. | 109,338 | |||
1,792 | Denbury, Inc. (a) | 157,535 | |||
3,154 | Devon Energy Corp. | 170,316 | |||
1,161 | Diamondback Energy, Inc. | 171,039 | |||
12,477 | Earthstone Energy, Inc., Class A (a) | 199,382 |
Shares | Description | Value | |||
Oil, Gas & Consumable Fuels (Continued) | |||||
2,737 | EOG Resources, Inc. | $362,735 | |||
9,392 | EQT Corp. | 396,155 | |||
23,312 | Equitrans Midstream Corp. | 241,745 | |||
4,266 | Exxon Mobil Corp. | 457,486 | |||
4,070 | Green Plains, Inc. (a) | 144,526 | |||
3,365 | Hess Corp. | 510,571 | |||
4,663 | International Seaways, Inc. | 199,996 | |||
8,855 | Kinder Morgan, Inc. | 156,822 | |||
5,073 | Kinetik Holdings, Inc. | 182,628 | |||
12,898 | Kosmos Energy Ltd. (a) | 91,576 | |||
3,697 | Magnolia Oil & Gas Corp., Class A | 81,889 | |||
4,430 | Matador Resources Co. | 246,441 | |||
6,052 | Murphy Oil Corp. | 261,870 | |||
6,493 | Northern Oil and Gas, Inc. | 255,629 | |||
5,327 | Occidental Petroleum Corp. | 336,293 | |||
2,470 | ONEOK, Inc. | 165,589 | |||
20,334 | Permian Resources Corp. | 237,704 | |||
736 | Pioneer Natural Resources Co. | 166,093 | |||
10,511 | Range Resources Corp. | 330,361 | |||
4,994 | Sitio Royalties Corp., Class A (b) | 136,536 | |||
6,011 | Targa Resources Corp. | 492,842 | |||
4,673 | Williams (The) Cos., Inc. | 160,985 | |||
9,745,451 | |||||
Passenger Airlines — 0.6% | |||||
21,533 | American Airlines Group, Inc. (a) | 360,678 | |||
16,471 | Delta Air Lines, Inc. | 761,948 | |||
1,122,626 | |||||
Personal Care Products — 0.5% | |||||
5,227 | Beauty Health (The) Co. (a) | 43,332 | |||
8,443 | BellRing Brands, Inc. (a) | 303,526 | |||
1,951 | elf Beauty, Inc. (a) | 227,721 | |||
2,285 | Inter Parfums, Inc. | 341,744 | |||
916,323 | |||||
Pharmaceuticals — 0.8% | |||||
3,878 | Amphastar Pharmaceuticals, Inc. (a) | 235,356 | |||
1,965 | Corcept Therapeutics, Inc. (a) | 50,068 | |||
668 | Eli Lilly & Co. | 303,639 | |||
1,242 | Harmony Biosciences Holdings, Inc. (a) | 43,930 | |||
3,660 | Intra-Cellular Therapies, Inc. (a) | 226,334 | |||
2,715 | Merck & Co., Inc. | 289,555 | |||
1,287 | Reata Pharmaceuticals, Inc., Class A (a) | 213,102 | |||
5,184 | Revance Therapeutics, Inc. (a) | 122,498 | |||
1,484,482 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Professional Services — 1.5% | |||||
4,183 | CBIZ, Inc. (a) | $221,239 | |||
1,154 | Ceridian HCM Holding, Inc. (a) | 81,715 | |||
1,944 | Equifax, Inc. | 396,732 | |||
512 | ExlService Holdings, Inc. (a) | 72,166 | |||
2,624 | Huron Consulting Group, Inc. (a) | 248,152 | |||
1,948 | Insperity, Inc. | 229,182 | |||
4,750 | KBR, Inc. | 292,077 | |||
1,799 | Korn Ferry | 94,771 | |||
395 | NV5 Global, Inc. (a) | 43,272 | |||
975 | Paycom Software, Inc. | 359,541 | |||
3,568 | Sterling Check Corp. (a) | 42,852 | |||
1,386 | Verisk Analytics, Inc. | 317,311 | |||
11,302 | Verra Mobility Corp. (a) | 237,229 | |||
2,636,239 | |||||
Real Estate Management & Development — 0.7% | |||||
5,140 | CoStar Group, Inc. (a) | 431,606 | |||
8,919 | DigitalBridge Group, Inc. | 142,882 | |||
1,958 | Howard Hughes (The) Corp. (a) | 165,314 | |||
2,679 | Kennedy-Wilson Holdings, Inc. | 44,204 | |||
55,438 | Opendoor Technologies, Inc. (a) | 283,288 | |||
1,844 | St. Joe (The) Co. | 117,057 | |||
1,184,351 | |||||
Residential REITs — 0.6% | |||||
2,179 | American Homes 4 Rent, Class A | 81,669 | |||
15,398 | Apartment Investment and Management Co., Class A | 128,265 | |||
1,401 | Camden Property Trust | 152,835 | |||
12,722 | Independence Realty Trust, Inc. | 216,783 | |||
9,105 | Invitation Homes, Inc. | 323,228 | |||
3,549 | UDR, Inc. | 145,083 | |||
5,554 | Veris Residential, Inc. (a) | 103,749 | |||
1,151,612 | |||||
Retail REITs — 0.2% | |||||
10,375 | Kite Realty Group Trust | 237,380 | |||
3,309 | SITE Centers Corp. | 46,491 | |||
5,945 | Tanger Factory Outlet Centers, Inc. | 139,173 | |||
423,044 | |||||
Semiconductors & Semiconductor Equipment — 6.1% | |||||
6,847 | Allegro MicroSystems, Inc. (a) | 353,374 | |||
2,348 | Analog Devices, Inc. | 468,496 | |||
5,417 | Applied Materials, Inc. | 821,163 | |||
2,107 | Axcelis Technologies, Inc. (a) | 422,411 | |||
903 | Broadcom, Inc. | 811,481 | |||
954 | Cirrus Logic, Inc. (a) | 77,083 |
Shares | Description | Value | |||
Semiconductors & Semiconductor Equipment (Continued) | |||||
12,853 | Credo Technology Group Holding Ltd. (a) | $218,115 | |||
2,506 | Diodes, Inc. (a) | 236,792 | |||
2,406 | First Solar, Inc. (a) | 499,004 | |||
488 | Impinj, Inc. (a) | 32,511 | |||
1,614 | KLA Corp. | 829,515 | |||
1,218 | Lam Research Corp. | 875,121 | |||
2,413 | Lattice Semiconductor Corp. (a) | 219,438 | |||
1,179 | MACOM Technology Solutions Holdings, Inc. (a) | 82,436 | |||
1,386 | MaxLinear, Inc. (a) | 34,193 | |||
6,992 | Microchip Technology, Inc. | 656,829 | |||
1,160 | Monolithic Power Systems, Inc. | 649,008 | |||
1,481 | NVIDIA Corp. | 692,057 | |||
3,826 | NXP Semiconductors N.V. | 853,122 | |||
8,279 | ON Semiconductor Corp. (a) | 892,062 | |||
2,654 | Onto Innovation, Inc. (a) | 329,945 | |||
3,953 | PDF Solutions, Inc. (a) | 181,798 | |||
1,633 | Power Integrations, Inc. | 158,630 | |||
6,020 | Rambus, Inc. (a) | 376,912 | |||
979 | Silicon Laboratories, Inc. (a) | 146,008 | |||
536 | Universal Display Corp. | 78,192 | |||
10,995,696 | |||||
Software — 11.8% | |||||
1,281 | Adobe, Inc. (a) | 699,644 | |||
637 | Agilysys, Inc. (a) | 46,902 | |||
10,878 | Alkami Technology, Inc. (a) | 183,621 | |||
1,730 | Altair Engineering, Inc., Class A (a) | 129,646 | |||
948 | ANSYS, Inc. (a) | 324,311 | |||
1,295 | Appfolio, Inc., Class A (a) | 233,864 | |||
2,756 | Appian Corp., Class A (a) | 141,989 | |||
5,953 | Asana, Inc., Class A (a) | 144,539 | |||
745 | Autodesk, Inc. (a) | 157,933 | |||
5,698 | Bentley Systems, Inc., Class B | 307,008 | |||
3,915 | BILL Holdings, Inc. (a) | 490,706 | |||
1,843 | Blackbaud, Inc. (a) | 139,054 | |||
2,629 | Box, Inc., Class A (a) | 82,156 | |||
4,072 | Braze, Inc., Class A (a) | 185,113 | |||
2,671 | Cadence Design Systems, Inc. (a) | 625,041 | |||
27,568 | CCC Intelligent Solutions Holdings, Inc. (a) | 303,799 | |||
1,888 | Clear Secure, Inc., Class A | 44,764 | |||
1,806 | CommVault Systems, Inc. (a) | 140,742 | |||
10,940 | Confluent, Inc., Class A (a) | 377,868 | |||
2,132 | Crowdstrike Holdings, Inc., Class A (a) | 344,659 | |||
6,367 | Datadog, Inc., Class A (a) | 743,156 | |||
9,925 | DoubleVerify Holdings, Inc. (a) | 417,842 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
8,691 | Dropbox, Inc., Class A (a) | $234,222 | |||
4,504 | Dynatrace, Inc. (a) | 246,324 | |||
2,410 | Elastic N.V. (a) | 160,144 | |||
1,302 | Envestnet, Inc. (a) | 80,698 | |||
775 | Fair Isaac Corp. (a) | 649,427 | |||
1,874 | Five9, Inc. (a) | 164,443 | |||
10,359 | Fortinet, Inc. (a) | 805,101 | |||
10,142 | Freshworks, Inc., Class A (a) | 189,250 | |||
4,535 | Gitlab, Inc., Class A (a) | 225,072 | |||
1,015 | Guidewire Software, Inc. (a) | 86,092 | |||
1,670 | HashiCorp, Inc., Class A (a) | 49,449 | |||
1,471 | HubSpot, Inc. (a) | 853,989 | |||
4,254 | Intapp, Inc. (a) | 174,669 | |||
333 | Intuit, Inc. | 170,396 | |||
2,240 | Jamf Holding Corp. (a) | 48,653 | |||
1,546 | Manhattan Associates, Inc. (a) | 294,699 | |||
8,571 | MeridianLink, Inc. (a) | 191,476 | |||
1,343 | Microsoft Corp. | 451,141 | |||
520 | MicroStrategy, Inc., Class A (a) | 227,698 | |||
2,521 | Model N, Inc. (a) | 84,000 | |||
9,104 | N-able, Inc. (a) | 128,093 | |||
4,356 | nCino, Inc. (a) | 140,917 | |||
1,180 | New Relic, Inc. (a) | 99,096 | |||
8,263 | Nutanix, Inc., Class A (a) | 249,543 | |||
6,575 | Oracle Corp. | 770,787 | |||
51,078 | Palantir Technologies, Inc., Class A (a) | 1,013,388 | |||
3,064 | Palo Alto Networks, Inc. (a) | 765,877 | |||
3,562 | Procore Technologies, Inc. (a) | 270,178 | |||
2,259 | Progress Software Corp. | 135,676 | |||
4,260 | PROS Holdings, Inc. (a) | 161,880 | |||
2,201 | PTC, Inc. (a) | 320,928 | |||
4,245 | Q2 Holdings, Inc. (a) | 150,570 | |||
598 | Qualys, Inc. (a) | 83,002 | |||
1,968 | Rapid7, Inc. (a) | 90,351 | |||
2,723 | RingCentral, Inc., Class A (a) | 112,623 | |||
8,042 | Samsara, Inc., Class A (a) | 224,693 | |||
2,897 | SentinelOne, Inc., Class A (a) | 48,293 | |||
1,114 | ServiceNow, Inc. (a) | 649,462 | |||
2,019 | Smartsheet, Inc., Class A (a) | 89,644 | |||
5,905 | Splunk, Inc. (a) | 639,689 | |||
12,891 | Sprinklr, Inc., Class A (a) | 180,990 | |||
1,609 | SPS Commerce, Inc. (a) | 290,248 | |||
1,438 | Synopsys, Inc. (a) | 649,688 | |||
1,774 | Tenable Holdings, Inc. (a) | 86,323 | |||
1,099 | Tyler Technologies, Inc. (a) | 435,896 | |||
4,664 | UiPath, Inc., Class A (a) | 84,325 | |||
3,345 | Varonis Systems, Inc. (a) | 96,002 | |||
2,773 | Workday, Inc., Class A (a) | 657,561 | |||
1,520 | Workiva, Inc. (a) | 160,041 |
Shares | Description | Value | |||
Software (Continued) | |||||
15,362 | Zeta Global Holdings Corp., Class A (a) | $141,638 | |||
4,282 | Zscaler, Inc. (a) | 686,747 | |||
21,265,449 | |||||
Specialized REITs — 0.8% | |||||
1,730 | CubeSmart | 75,013 | |||
2,803 | EPR Properties | 125,126 | |||
400 | Equinix, Inc. | 323,968 | |||
8,051 | Iron Mountain, Inc. | 494,331 | |||
778 | Lamar Advertising Co., Class A | 76,789 | |||
5,671 | Outfront Media, Inc. | 87,674 | |||
28,397 | Uniti Group, Inc. | 158,455 | |||
4,852 | VICI Properties, Inc. | 152,741 | |||
1,494,097 | |||||
Specialty Retail — 2.5% | |||||
2,858 | Academy Sports & Outdoors, Inc. | 170,880 | |||
125 | AutoZone, Inc. (a) | 310,215 | |||
2,105 | Boot Barn Holdings, Inc. (a) | 197,659 | |||
1,264 | Buckle (The), Inc. | 46,212 | |||
5,872 | Chewy, Inc., Class A (a) | 199,061 | |||
1,753 | Dick’s Sporting Goods, Inc. | 247,173 | |||
786 | Five Below, Inc. (a) | 163,755 | |||
3,715 | Floor & Decor Holdings, Inc., Class A (a) | 426,668 | |||
1,008 | Home Depot (The), Inc. | 336,511 | |||
1,076 | Monro, Inc. | 39,435 | |||
1,241 | Murphy USA, Inc. | 381,024 | |||
819 | O’Reilly Automotive, Inc. (a) | 758,222 | |||
2,793 | Ross Stores, Inc. | 320,190 | |||
5,396 | TJX (The) Cos., Inc. | 466,916 | |||
666 | Ulta Beauty, Inc. (a) | 296,237 | |||
4,119 | Valvoline, Inc. | 156,398 | |||
4,516,556 | |||||
Technology Hardware, Storage & Peripherals — 0.8% | |||||
3,229 | Apple, Inc. | 634,337 | |||
8,394 | Pure Storage, Inc., Class A (a) | 310,494 | |||
1,550 | Super Micro Computer, Inc. (a) | 511,919 | |||
1,456,750 | |||||
Textiles, Apparel & Luxury Goods — 0.6% | |||||
2,749 | Crocs, Inc. (a) | 297,854 | |||
732 | Deckers Outdoor Corp. (a) | 397,981 | |||
2,118 | Kontoor Brands, Inc. | 89,719 | |||
1,333 | Oxford Industries, Inc. | 143,764 | |||
5,416 | Tapestry, Inc. | 233,700 | |||
1,163,018 | |||||
Tobacco — 0.1% | |||||
10,242 | Vector Group Ltd. | 134,375 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Trading Companies & Distributors — 3.0% | |||||
2,133 | Applied Industrial Technologies, Inc. | $309,264 | |||
4,655 | Beacon Roofing Supply, Inc. (a) | 398,794 | |||
12,326 | Core & Main, Inc., Class A (a) | 389,625 | |||
19,465 | Custom Truck One Source, Inc. (a) | 134,698 | |||
10,619 | Fastenal Co. | 622,380 | |||
7,040 | FTAI Aviation Ltd. | 226,758 | |||
3,220 | GMS, Inc. (a) | 237,282 | |||
3,897 | H&E Equipment Services, Inc. | 189,316 | |||
2,822 | Herc Holdings, Inc. | 377,668 | |||
964 | McGrath RentCorp | 92,910 | |||
1,758 | United Rentals, Inc. | 816,907 | |||
993 | W.W. Grainger, Inc. | 733,321 | |||
1,012 | Watsco, Inc. | 382,728 | |||
2,158 | WESCO International, Inc. | 378,880 | |||
4,208 | Xometry, Inc., Class A (a) | 87,358 | |||
5,377,889 | |||||
Water Utilities — 0.1% | |||||
543 | Middlesex Water Co. | 43,668 | |||
624 | SJW Group | 43,967 | |||
87,635 | |||||
Wireless Telecommunication Services — 0.0% | |||||
5,242 | Gogo, Inc. (a) | 78,997 | |||
Total Common Stocks | 180,322,038 | ||||
(Cost $147,069,979) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
75,089 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (h) (i) | 75,089 | |||
127,210 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (h) | 127,210 | |||
Total Money Market Funds | 202,299 | ||||
(Cost $202,299) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 0.4% | |||||
$742,386 | BNP Paribas S.A., 5.24% (h), dated 07/31/23, due 08/01/23, with a maturity value of $742,494. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $757,250. (i) | $742,386 | |||
(Cost $742,386) | |||||
Total Investments — 100.5% | 181,266,723 | ||||
(Cost $148,014,664) | |||||
Net Other Assets and Liabilities — (0.5)% | (921,146 ) | ||||
Net Assets — 100.0% | $180,345,577 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $822,208 and the total value of the collateral held by the Fund is $817,475. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
(e) | Restricted security as to resale, excluding Rule 144A securities (see Note2F - Restricted Securities in the Notes to Financial Statements). |
(f) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At July 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
(g) | This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
(h) | Rate shown reflects yield as of July 31, 2023. |
(i) | This security serves as collateral for securities on loan. |
Portfolio of Investments (Continued)
July 31, 2023
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Life Sciences Tools & Services | $1,095,400 | $1,095,400 | $— | $— ** |
Other Industry Categories* | 179,226,638 | 179,226,638 | — | — |
Money Market Funds | 202,299 | 202,299 | — | — |
Repurchase Agreements | 742,386 | — | 742,386 | — |
Total Investments | $181,266,723 | $180,524,337 | $742,386 | $— ** |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $822,208 |
Non-cash Collateral(2) | (817,475 ) |
Net Amount | $4,733 |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 31, 2023, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $742,386 |
Non-cash Collateral(4) | (742,386 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Aerospace & Defense — 1.0% | |||||
4,326 | Huntington Ingalls Industries, Inc. | $993,552 | |||
75,721 | Leonardo DRS, Inc. (a) | 1,263,784 | |||
2,257,336 | |||||
Air Freight & Logistics — 0.3% | |||||
6,958 | C.H. Robinson Worldwide, Inc. | 697,052 | |||
Automobile Components — 1.4% | |||||
8,566 | Adient PLC (a) | 364,569 | |||
26,845 | BorgWarner, Inc. | 1,248,293 | |||
22,437 | Gentex Corp. | 753,434 | |||
6,860 | Lear Corp. | 1,061,654 | |||
3,427,950 | |||||
Automobiles — 0.8% | |||||
15,858 | Thor Industries, Inc. | 1,831,440 | |||
Banks — 17.5% | |||||
32,695 | Bank OZK | 1,429,752 | |||
12,190 | BOK Financial Corp. | 1,085,885 | |||
66,854 | Cadence Bank | 1,674,693 | |||
30,996 | Comerica, Inc. | 1,672,544 | |||
24,873 | East West Bancorp, Inc. | 1,547,349 | |||
114,774 | F.N.B. Corp. | 1,467,960 | |||
1,279 | First Citizens BancShares, Inc., Class A | 1,830,633 | |||
54,678 | First Hawaiian, Inc. | 1,131,288 | |||
55,076 | First Interstate BancSystem, Inc., Class A | 1,582,334 | |||
21,062 | Glacier Bancorp, Inc. | 688,727 | |||
42,764 | Hancock Whitney Corp. | 1,882,044 | |||
28,794 | Home BancShares, Inc. | 699,982 | |||
29,499 | Independent Bank Corp. | 1,777,315 | |||
146,021 | New York Community Bancorp, Inc. | 2,025,311 | |||
94,190 | Old National Bancorp | 1,604,056 | |||
23,178 | Pinnacle Financial Partners, Inc. | 1,759,210 | |||
21,695 | Popular, Inc. | 1,573,972 | |||
17,435 | Prosperity Bancshares, Inc. | 1,103,984 | |||
14,966 | SouthState Corp. | 1,162,409 | |||
43,406 | Synovus Financial Corp. | 1,471,463 | |||
16,170 | UMB Financial Corp. | 1,148,070 | |||
33,191 | United Bankshares, Inc. | 1,109,907 | |||
39,406 | United Community Banks, Inc. | 1,145,532 | |||
169,421 | Valley National Bancorp | 1,738,260 | |||
34,781 | Webster Financial Corp. | 1,645,837 | |||
45,003 | Western Alliance Bancorp (b) | 2,337,906 | |||
18,081 | Wintrust Financial Corp. | 1,525,313 | |||
48,884 | Zions Bancorp N.A. (b) | 1,869,813 | |||
41,691,549 |
Shares | Description | Value | |||
Beverages — 0.4% | |||||
1,548 | Coca-Cola Consolidated, Inc. | $980,519 | |||
Broadline Retail — 1.6% | |||||
56,964 | Kohl’s Corp. | 1,620,626 | |||
102,260 | Macy’s, Inc. | 1,696,493 | |||
5,667 | Ollie’s Bargain Outlet Holdings, Inc. (a) | 413,011 | |||
3,730,130 | |||||
Building Products — 1.9% | |||||
9,125 | Fortune Brands Innovations, Inc. | 648,514 | |||
10,061 | Owens Corning | 1,408,439 | |||
4,740 | Simpson Manufacturing Co., Inc. | 748,920 | |||
5,006 | Trex Co., Inc. (a) | 346,115 | |||
13,530 | UFP Industries, Inc. | 1,390,343 | |||
4,542,331 | |||||
Capital Markets — 2.6% | |||||
7,968 | Evercore, Inc., Class A | 1,076,158 | |||
27,469 | Federated Hermes, Inc. | 929,276 | |||
3,339 | Houlihan Lokey, Inc. | 333,399 | |||
97,636 | Invesco Ltd. | 1,640,285 | |||
29,688 | Jefferies Financial Group, Inc. | 1,092,222 | |||
16,504 | Stifel Financial Corp. | 1,048,664 | |||
6,120,004 | |||||
Chemicals — 3.1% | |||||
16,052 | Avient Corp. | 650,588 | |||
11,763 | Eastman Chemical Co. | 1,006,678 | |||
34,193 | Element Solutions, Inc. | 716,685 | |||
9,180 | H.B. Fuller Co. | 679,595 | |||
48,594 | Huntsman Corp. | 1,446,643 | |||
2,449 | NewMarket Corp. | 1,106,213 | |||
31,938 | Olin Corp. | 1,842,184 | |||
7,448,586 | |||||
Commercial Services & Supplies — 0.1% | |||||
7,068 | Stericycle, Inc. (a) | 300,319 | |||
Communications Equipment — 0.5% | |||||
7,725 | Ciena Corp. (a) | 325,995 | |||
2,244 | F5, Inc. (a) | 355,091 | |||
20,955 | Juniper Networks, Inc. | 582,549 | |||
1,263,635 | |||||
Construction & Engineering — 0.7% | |||||
78,379 | MDU Resources Group, Inc. | 1,733,743 | |||
Construction Materials — 0.4% | |||||
26,018 | Summit Materials, Inc., Class A (c) | 941,331 | |||
Consumer Finance — 1.8% | |||||
60,766 | Ally Financial, Inc. | 1,855,794 | |||
646 | Credit Acceptance Corp. (a) | 359,564 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Consumer Finance (Continued) | |||||
30,053 | OneMain Holdings, Inc. | $1,366,810 | |||
40,227 | SLM Corp. | 650,873 | |||
4,233,041 | |||||
Consumer Staples Distribution & Retail — 1.0% | |||||
10,420 | BJ’s Wholesale Club Holdings, Inc. (a) | 690,950 | |||
5,449 | Performance Food Group Co. (a) | 325,632 | |||
26,811 | Sprouts Farmers Market, Inc. (a) | 1,052,332 | |||
7,460 | US Foods Holding Corp. (a) | 318,766 | |||
2,387,680 | |||||
Containers & Packaging — 1.8% | |||||
2,833 | AptarGroup, Inc. | 344,096 | |||
20,408 | Berry Global Group, Inc. | 1,338,152 | |||
3,779 | Crown Holdings, Inc. | 350,540 | |||
8,206 | Sealed Air Corp. | 374,358 | |||
14,001 | Silgan Holdings, Inc. | 613,944 | |||
16,685 | Sonoco Products Co. | 978,408 | |||
11,292 | Westrock Co. | 375,911 | |||
4,375,409 | |||||
Diversified Telecommunication Services — 1.1% | |||||
88,050 | Frontier Communications Parent, Inc. (a) | 1,603,391 | |||
580,980 | Lumen Technologies, Inc. | 1,039,954 | |||
2,643,345 | |||||
Electric Utilities — 2.1% | |||||
22,650 | ALLETE, Inc. | 1,300,790 | |||
18,136 | Hawaiian Electric Industries, Inc. | 696,241 | |||
6,399 | IDACORP, Inc. | 657,945 | |||
12,089 | Pinnacle West Capital Corp. | 1,001,211 | |||
28,038 | Portland General Electric Co. | 1,336,571 | |||
4,992,758 | |||||
Electrical Equipment — 0.8% | |||||
6,039 | Acuity Brands, Inc. | 997,884 | |||
3,025 | EnerSys | 327,668 | |||
4,266 | Regal Rexnord Corp. | 666,264 | |||
1,991,816 | |||||
Electronic Equipment, Instruments & Components — 3.2% | |||||
2,946 | Advanced Energy Industries, Inc. | 368,780 | |||
11,459 | Arrow Electronics, Inc. (a) | 1,633,366 | |||
32,533 | Avnet, Inc. | 1,577,851 | |||
6,439 | Coherent Corp. (a) | 304,951 | |||
2,243 | Insight Enterprises, Inc. (a) | 329,026 |
Shares | Description | Value | |||
Electronic Equipment, Instruments & Components (Continued) | |||||
6,082 | Jabil, Inc. | $673,095 | |||
21,785 | Sanmina Corp. (a) | 1,338,906 | |||
13,968 | TD SYNNEX Corp. | 1,378,781 | |||
7,604,756 | |||||
Energy Equipment & Services — 0.5% | |||||
61,394 | NOV, Inc. | 1,232,792 | |||
Financial Services — 3.7% | |||||
12,085 | Equitable Holdings, Inc. | 346,719 | |||
35,069 | Essent Group Ltd. | 1,739,422 | |||
53,618 | Jackson Financial, Inc., Class A | 1,770,466 | |||
103,943 | MGIC Investment Corp. | 1,740,006 | |||
64,924 | Radian Group, Inc. | 1,748,403 | |||
4,578 | Voya Financial, Inc. | 339,962 | |||
83,953 | Western Union (The) Co. | 1,022,548 | |||
8,707,526 | |||||
Food Products — 1.8% | |||||
13,193 | Flowers Foods, Inc. | 325,999 | |||
9,295 | Ingredion, Inc. | 1,034,162 | |||
15,153 | Post Holdings, Inc. (a) | 1,292,551 | |||
461 | Seaboard Corp. | 1,661,905 | |||
4,314,617 | |||||
Gas Utilities — 1.0% | |||||
12,821 | ONE Gas, Inc. | 1,014,526 | |||
20,697 | Spire, Inc. | 1,315,708 | |||
2,330,234 | |||||
Ground Transportation — 2.2% | |||||
89,248 | Hertz Global Holdings, Inc. (a) | 1,503,829 | |||
29,540 | Knight-Swift Transportation Holdings, Inc. | 1,794,555 | |||
19,356 | Ryder System, Inc. | 1,977,215 | |||
5,275,599 | |||||
Health Care Equipment & Supplies — 1.3% | |||||
19,400 | Envista Holdings Corp. (a) | 667,554 | |||
23,942 | Integra LifeSciences Holdings Corp. (a) | 1,088,643 | |||
11,884 | QuidelOrtho Corp. (a) | 1,038,186 | |||
1,356 | Teleflex, Inc. | 340,587 | |||
3,134,970 | |||||
Health Care Providers & Services — 1.6% | |||||
3,267 | DaVita, Inc. (a) | 333,201 | |||
4,848 | Encompass Health Corp. | 320,114 | |||
4,047 | Henry Schein, Inc. (a) | 318,863 | |||
35,602 | Premier, Inc., Class A | 987,956 | |||
10,303 | Select Medical Holdings Corp. | 309,193 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Health Care Providers & Services (Continued) | |||||
4,033 | Tenet Healthcare Corp. (a) | $301,386 | |||
8,322 | Universal Health Services, Inc., Class B | 1,156,425 | |||
3,727,138 | |||||
Health Care REITs — 1.2% | |||||
17,405 | Healthcare Realty Trust, Inc. | 339,920 | |||
141,794 | Medical Properties Trust, Inc. | 1,430,701 | |||
70,390 | Physicians Realty Trust | 1,037,549 | |||
2,808,170 | |||||
Hotels, Restaurants & Leisure — 0.8% | |||||
68,301 | Penn Entertainment, Inc. (a) | 1,795,633 | |||
Household Durables — 3.1% | |||||
33,246 | Leggett & Platt, Inc. | 972,778 | |||
11,536 | Meritage Homes Corp. | 1,718,287 | |||
6,364 | Mohawk Industries, Inc. (a) | 676,748 | |||
33,653 | Taylor Morrison Home Corp. (a) | 1,629,478 | |||
20,757 | Toll Brothers, Inc. | 1,667,410 | |||
2,468 | TopBuild Corp. (a) | 676,059 | |||
7,340,760 | |||||
Household Products — 0.1% | |||||
11,619 | Reynolds Consumer Products, Inc. | 321,614 | |||
Industrial REITs — 0.3% | |||||
18,297 | STAG Industrial, Inc. | 664,181 | |||
Insurance — 3.5% | |||||
12,598 | American Equity Investment Life Holding Co. | 676,135 | |||
5,528 | American Financial Group, Inc. | 672,260 | |||
2,611 | Assurant, Inc. | 351,206 | |||
11,766 | Assured Guaranty Ltd. | 703,371 | |||
12,196 | Axis Capital Holdings Ltd. | 672,243 | |||
6,933 | Brighthouse Financial, Inc. (a) | 361,417 | |||
18,236 | Fidelity National Financial, Inc. | 714,304 | |||
5,757 | First American Financial Corp. | 364,879 | |||
2,994 | Globe Life, Inc. | 335,837 | |||
39,125 | Old Republic International Corp. | 1,078,676 | |||
4,733 | Reinsurance Group of America, Inc. | 664,277 | |||
27,526 | Unum Group | 1,338,039 | |||
237 | White Mountains Insurance Group Ltd. | 366,644 | |||
8,299,288 | |||||
Interactive Media & Services — 0.1% | |||||
4,686 | Ziff Davis, Inc. (a) | 339,829 | |||
IT Services — 0.3% | |||||
24,570 | DXC Technology Co. (a) | 679,361 |
Shares | Description | Value | |||
Leisure Products — 0.6% | |||||
15,155 | Brunswick Corp. | $1,308,028 | |||
Machinery — 2.8% | |||||
9,991 | AGCO Corp. | 1,329,802 | |||
29,080 | Crane NXT Co. | 1,720,082 | |||
8,836 | Flowserve Corp. | 333,647 | |||
4,441 | Middleby (The) Corp. (a) | 674,366 | |||
15,044 | Mueller Industries, Inc. | 1,219,467 | |||
7,582 | Oshkosh Corp. | 698,075 | |||
7,172 | Timken (The) Co. | 665,992 | |||
6,641,431 | |||||
Marine Transportation — 0.3% | |||||
8,532 | Kirby Corp. (a) | 695,187 | |||
Media — 2.5% | |||||
999 | Cable One, Inc. | 723,216 | |||
249,054 | DISH Network Corp., Class A (a) | 1,974,998 | |||
8,335 | New York Times (The) Co., Class A | 339,735 | |||
50,500 | News Corp., Class A | 1,000,910 | |||
9,854 | Nexstar Media Group, Inc. | 1,839,939 | |||
5,878,798 | |||||
Metals & Mining — 1.3% | |||||
78,342 | Cleveland-Cliffs, Inc. (a) | 1,382,736 | |||
65,624 | United States Steel Corp. | 1,673,412 | |||
3,056,148 | |||||
Mortgage REITs — 1.2% | |||||
31,548 | Blackstone Mortgage Trust, Inc., Class A (b) | 725,288 | |||
105,322 | Rithm Capital Corp. | 1,061,646 | |||
50,761 | Starwood Property Trust, Inc. | 1,052,783 | |||
2,839,717 | |||||
Multi-Utilities — 0.4% | |||||
16,342 | Black Hills Corp. | 985,913 | |||
Office REITs — 2.1% | |||||
22,799 | Boston Properties, Inc. | 1,519,097 | |||
57,588 | Cousins Properties, Inc. | 1,406,875 | |||
54,546 | Kilroy Realty Corp. | 1,947,292 | |||
4,873,264 | |||||
Oil, Gas & Consumable Fuels — 5.9% | |||||
19,614 | Chesapeake Energy Corp. | 1,654,245 | |||
10,672 | Chord Energy Corp. | 1,673,796 | |||
26,488 | DT Midstream, Inc. | 1,417,638 | |||
36,792 | HF Sinclair Corp. | 1,916,495 | |||
40,090 | PBF Energy, Inc., Class A | 1,901,870 | |||
75,774 | Peabody Energy Corp. | 1,700,368 | |||
51,889 | SM Energy Co. | 1,883,052 | |||
273,090 | Southwestern Energy Co. (a) | 1,769,623 | |||
13,917,087 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Paper & Forest Products — 0.4% | |||||
13,134 | Louisiana-Pacific Corp. | $999,891 | |||
Pharmaceuticals — 1.1% | |||||
97,889 | Elanco Animal Health, Inc. (a) | 1,181,520 | |||
47,321 | Organon & Co. | 1,040,116 | |||
9,668 | Perrigo Co. PLC | 354,235 | |||
2,575,871 | |||||
Professional Services — 3.0% | |||||
13,021 | ASGN, Inc. (a) | 993,763 | |||
1,926 | CACI International, Inc., Class A (a) | 674,948 | |||
20,325 | Concentrix Corp. | 1,691,853 | |||
56,742 | Dun & Bradstreet Holdings, Inc. | 670,690 | |||
8,737 | Genpact Ltd. | 315,318 | |||
12,402 | ManpowerGroup, Inc. | 978,270 | |||
8,728 | Robert Half, Inc. | 647,181 | |||
2,918 | Science Applications International Corp. | 354,070 | |||
6,913 | TriNet Group, Inc. (a) | 727,455 | |||
7,053,548 | |||||
Real Estate Management & Development — 0.4% | |||||
6,321 | Jones Lang LaSalle, Inc. (a) | 1,052,763 | |||
Residential REITs — 0.5% | |||||
36,382 | Apartment Income REIT Corp. | 1,256,634 | |||
Semiconductors & Semiconductor Equipment — 1.3% | |||||
55,168 | Amkor Technology, Inc. | 1,604,837 | |||
3,037 | MKS Instruments, Inc. | 331,549 | |||
11,534 | Synaptics, Inc. (a) | 1,041,636 | |||
2,978,022 | |||||
Software — 0.4% | |||||
3,923 | Dolby Laboratories, Inc., Class A | 347,617 | |||
26,051 | NCR Corp. (a) | 700,251 | |||
1,047,868 | |||||
Specialized REITs — 0.3% | |||||
12,422 | PotlatchDeltic Corp. | 666,192 | |||
Specialty Retail — 6.4% | |||||
18,677 | Advance Auto Parts, Inc. | 1,389,382 | |||
6,827 | Asbury Automotive Group, Inc. (a) | 1,540,171 | |||
7,977 | AutoNation, Inc. (a) | 1,284,138 | |||
17,507 | Bath & Body Works, Inc. | 648,809 | |||
60,541 | Foot Locker, Inc. | 1,626,737 | |||
73,517 | Gap (The), Inc. | 757,225 | |||
5,397 | Lithia Motors, Inc. | 1,675,930 | |||
7,880 | Penske Automotive Group, Inc. | 1,271,990 |
Shares | Description | Value | |||
Specialty Retail (Continued) | |||||
996 | RH (a) | $386,617 | |||
25,150 | Signet Jewelers Ltd. | 2,024,324 | |||
56,498 | Victoria’s Secret & Co. (a) | 1,157,644 | |||
10,492 | Williams-Sonoma, Inc. | 1,454,611 | |||
15,217,578 | |||||
Technology Hardware, Storage & Peripherals — 0.1% | |||||
6,066 | Dell Technologies, Inc., Class C | 321,013 | |||
Textiles, Apparel & Luxury Goods — 1.9% | |||||
11,590 | PVH Corp. | 1,038,928 | |||
5,324 | Ralph Lauren Corp. | 699,201 | |||
12,466 | Skechers U.S.A., Inc., Class A (a) | 692,860 | |||
227,322 | Under Armour, Inc., Class A (a) | 1,832,215 | |||
17,195 | VF Corp. | 340,633 | |||
4,603,837 | |||||
Trading Companies & Distributors — 1.4% | |||||
39,218 | Air Lease Corp. | 1,660,490 | |||
5,099 | GATX Corp. | 639,211 | |||
10,335 | MSC Industrial Direct Co., Inc., Class A | 1,043,008 | |||
3,342,709 | |||||
Total Common Stocks | 237,477,941 | ||||
(Cost $227,741,939) | |||||
MONEY MARKET FUNDS — 0.2% | |||||
377,661 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | 377,661 | |||
(Cost $377,661) |
Portfolio of Investments (Continued)
July 31, 2023
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 1.6% | |||||
$3,733,847 | BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $3,734,390. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $3,808,607. (e) | $3,733,847 | |||
(Cost $3,733,847) | |||||
Total Investments — 101.7% | 241,589,449 | ||||
(Cost $231,853,447) | |||||
Net Other Assets and Liabilities — (1.7)% | (3,941,315 ) | ||||
Net Assets — 100.0% | $237,648,134 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $3,978,407 and the total value of the collateral held by the Fund is $4,111,508. |
(c) | Non-income producing security which makes payment-in- kind (“PIK”) distributions. There were no in-kind distributions received for the fiscal year ended July 31, 2023. |
(d) | Rate shown reflects yield as of July 31, 2023. |
(e) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $237,477,941 | $237,477,941 | $— | $— |
Money Market Funds | 377,661 | 377,661 | — | — |
Repurchase Agreements | 3,733,847 | — | 3,733,847 | — |
Total Investments | $241,589,449 | $237,855,602 | $3,733,847 | $— |
* | See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $3,978,407 |
Non-cash Collateral(2) | (3,978,407 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $3,733,847 |
Non-cash Collateral(4) | (3,733,847 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 1.7% | |||||
16,714 | BWX Technologies, Inc. | $1,153,266 | |||
6,513 | Curtiss-Wright Corp. | 1,246,328 | |||
20,982 | Hexcel Corp. | 1,483,008 | |||
27,321 | Spirit AeroSystems Holdings, Inc., Class A | 869,354 | |||
4,751,956 | |||||
Automobile Components — 0.9% | |||||
7,350 | Fox Factory Holding Corp. (a) | 822,465 | |||
11,107 | Visteon Corp. (a) | 1,711,478 | |||
2,533,943 | |||||
Automobiles — 0.3% | |||||
22,650 | Harley-Davidson, Inc. | 874,517 | |||
Banks — 0.3% | |||||
7,416 | Cullen/Frost Bankers, Inc. | 805,229 | |||
Beverages — 0.7% | |||||
13,364 | Celsius Holdings, Inc. (a) | 1,933,771 | |||
Biotechnology — 2.8% | |||||
25,480 | Alkermes PLC (a) | 746,054 | |||
31,747 | Amicus Therapeutics, Inc. (a) | 432,394 | |||
17,509 | Apellis Pharmaceuticals, Inc. (a) | 450,857 | |||
7,103 | CRISPR Therapeutics AG (a) | 407,215 | |||
21,233 | Exact Sciences Corp. (a) | 2,071,067 | |||
20,866 | Exelixis, Inc. (a) | 411,269 | |||
9,779 | Intellia Therapeutics, Inc. (a) | 413,945 | |||
9,718 | Ionis Pharmaceuticals, Inc. (a) | 402,617 | |||
3,677 | Karuna Therapeutics, Inc. (a) | 734,554 | |||
8,195 | Natera, Inc. (a) | 370,578 | |||
118,677 | Roivant Sciences Ltd. (a) | 1,421,750 | |||
7,862,300 | |||||
Broadline Retail — 0.5% | |||||
3,666 | Dillard’s, Inc., Class A | 1,257,585 | |||
Building Products — 4.6% | |||||
16,824 | AAON, Inc. | 1,770,894 | |||
14,019 | Advanced Drainage Systems, Inc. | 1,710,178 | |||
9,967 | Allegion PLC | 1,164,744 | |||
10,857 | Armstrong World Industries, Inc. | 839,897 | |||
52,658 | AZEK (The) Co., Inc. (a) | 1,642,930 | |||
14,660 | Builders FirstSource, Inc. (a) | 2,117,344 | |||
6,115 | Lennox International, Inc. | 2,246,895 | |||
20,848 | Masco Corp. | 1,265,057 | |||
12,757,939 | |||||
Capital Markets — 1.1% | |||||
2,660 | Affiliated Managers Group, Inc. | 368,783 | |||
19,201 | Interactive Brokers Group, Inc., Class A | 1,676,823 |
Shares | Description | Value | |||
Capital Markets (Continued) | |||||
39,955 | Robinhood Markets, Inc., Class A (a) | $513,821 | |||
6,689 | SEI Investments Co. | 421,340 | |||
2,980,767 | |||||
Chemicals — 2.6% | |||||
48,614 | Axalta Coating Systems Ltd. (a) | 1,555,648 | |||
5,916 | Balchem Corp. | 797,122 | |||
5,962 | Cabot Corp. | 423,302 | |||
43,237 | Chemours (The) Co. | 1,598,904 | |||
72,686 | Livent Corp. (a) | 1,789,530 | |||
8,888 | RPM International, Inc. | 918,219 | |||
7,082,725 | |||||
Commercial Services & Supplies — 2.2% | |||||
13,225 | Casella Waste Systems, Inc., Class A (a) | 1,067,125 | |||
12,125 | Clean Harbors, Inc. (a) | 2,015,903 | |||
14,736 | Driven Brands Holdings, Inc. (a) | 381,220 | |||
9,168 | MSA Safety, Inc. | 1,521,888 | |||
7,306 | Tetra Tech, Inc. | 1,236,248 | |||
6,222,384 | |||||
Communications Equipment — 0.3% | |||||
15,979 | Calix, Inc. (a) | 720,813 | |||
Construction & Engineering — 3.4% | |||||
9,416 | AECOM | 819,192 | |||
73,139 | API Group Corp. (a) | 2,103,478 | |||
12,142 | Comfort Systems USA, Inc. | 2,112,344 | |||
10,790 | EMCOR Group, Inc. | 2,320,281 | |||
2,740 | Valmont Industries, Inc. | 725,415 | |||
25,032 | WillScot Mobile Mini Holdings Corp. (a) | 1,200,284 | |||
9,280,994 | |||||
Construction Materials — 0.7% | |||||
10,695 | Eagle Materials, Inc. | 1,971,837 | |||
Consumer Finance — 1.6% | |||||
17,090 | FirstCash Holdings, Inc. | 1,628,335 | |||
239,062 | SoFi Technologies, Inc. (a) | 2,737,260 | |||
4,365,595 | |||||
Consumer Staples Distribution & Retail — 0.6% | |||||
6,541 | Casey’s General Stores, Inc. | 1,652,649 | |||
Containers & Packaging — 0.7% | |||||
49,782 | Graphic Packaging Holding Co. | 1,204,724 | |||
11,576 | Greif, Inc., Class A | 856,277 | |||
2,061,001 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Diversified Telecommunication Services — 0.4% | |||||
19,257 | Iridium Communications, Inc. | $1,011,955 | |||
Electric Utilities — 0.1% | |||||
11,104 | OGE Energy Corp. | 401,410 | |||
Electrical Equipment — 0.7% | |||||
12,786 | Atkore, Inc. (a) | 2,028,755 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||||
10,809 | Badger Meter, Inc. | 1,779,594 | |||
20,844 | Belden, Inc. | 2,014,364 | |||
14,237 | Cognex Corp. | 777,625 | |||
4,106 | Littelfuse, Inc. | 1,250,687 | |||
5,822,270 | |||||
Energy Equipment & Services — 3.2% | |||||
18,845 | Cactus, Inc., Class A | 956,949 | |||
51,386 | ChampionX Corp. | 1,829,341 | |||
22,497 | Helmerich & Payne, Inc. | 1,007,191 | |||
66,626 | Patterson-UTI Energy, Inc. | 1,055,356 | |||
19,009 | Valaris Ltd. (a) | 1,459,891 | |||
30,018 | Weatherford International PLC (a) | 2,494,496 | |||
8,803,224 | |||||
Entertainment — 0.5% | |||||
16,671 | Endeavor Group Holdings, Inc., Class A (a) | 393,435 | |||
4,241 | Madison Square Garden Sports Corp. | 902,273 | |||
1,295,708 | |||||
Financial Services — 1.7% | |||||
23,487 | Shift4 Payments, Inc., Class A (a) | 1,620,368 | |||
88,337 | Toast, Inc., Class A (a) | 1,949,598 | |||
6,570 | WEX, Inc. (a) | 1,244,029 | |||
4,813,995 | |||||
Food Products — 0.7% | |||||
18,753 | Darling Ingredients, Inc. (a) | 1,298,645 | |||
3,966 | Lancaster Colony Corp. | 763,971 | |||
2,062,616 | |||||
Gas Utilities — 0.2% | |||||
7,764 | National Fuel Gas Co. | 412,346 | |||
Ground Transportation — 2.2% | |||||
8,719 | Avis Budget Group, Inc. (a) | 1,920,708 | |||
6,213 | Landstar System, Inc. | 1,264,905 | |||
41,580 | Lyft, Inc., Class A (a) | 528,482 | |||
5,823 | Saia, Inc. (a) | 2,463,944 | |||
6,178,039 |
Shares | Description | Value | |||
Health Care Equipment & Supplies — 3.3% | |||||
14,050 | Haemonetics Corp. (a) | $1,295,972 | |||
6,141 | Inspire Medical Systems, Inc. (a) | 1,767,441 | |||
19,006 | Lantheus Holdings, Inc. (a) | 1,643,829 | |||
14,302 | Merit Medical Systems, Inc. (a) | 1,067,930 | |||
4,636 | Penumbra, Inc. (a) | 1,406,377 | |||
6,986 | Shockwave Medical, Inc. (a) | 1,820,552 | |||
9,002,101 | |||||
Health Care Providers & Services — 2.1% | |||||
10,014 | Acadia Healthcare Co., Inc. (a) | 791,406 | |||
22,996 | agilon health, Inc. (a) | 440,373 | |||
10,963 | AMN Healthcare Services, Inc. (a) | 1,174,686 | |||
736 | Chemed Corp. | 383,522 | |||
12,532 | Ensign Group (The), Inc. | 1,213,975 | |||
6,315 | HealthEquity, Inc. (a) | 429,041 | |||
36,820 | Option Care Health, Inc. (a) | 1,243,780 | |||
5,676,783 | |||||
Health Care REITs — 0.2% | |||||
12,993 | Omega Healthcare Investors, Inc. | 414,477 | |||
Health Care Technology — 0.3% | |||||
11,721 | Doximity, Inc., Class A (a) | 418,791 | |||
15,749 | Teladoc Health, Inc. (a) | 468,848 | |||
887,639 | |||||
Hotel & Resort REITs — 0.7% | |||||
26,390 | Apple Hospitality REIT, Inc. | 409,045 | |||
17,166 | Ryman Hospitality Properties, Inc. | 1,635,748 | |||
2,044,793 | |||||
Hotels, Restaurants & Leisure — 10.7% | |||||
37,050 | Aramark | 1,495,709 | |||
22,993 | Boyd Gaming Corp. | 1,570,882 | |||
31,293 | Caesars Entertainment, Inc. (a) | 1,846,913 | |||
105,883 | Carnival Corp. (a) | 1,994,836 | |||
6,786 | Choice Hotels International, Inc. | 887,270 | |||
11,461 | Churchill Downs, Inc. | 1,327,757 | |||
75,039 | DraftKings, Inc., Class A (a) | 2,384,739 | |||
35,102 | Hilton Grand Vacations, Inc. (a) | 1,632,243 | |||
17,401 | Hyatt Hotels Corp., Class A | 2,198,616 | |||
101,361 | Life Time Group Holdings, Inc. (a) | 1,833,621 | |||
23,197 | Light & Wonder, Inc. (a) | 1,630,749 | |||
6,498 | Marriott Vacations Worldwide Corp. | 835,058 | |||
91,583 | Norwegian Cruise Line Holdings Ltd. (a) | 2,021,237 | |||
14,239 | SeaWorld Entertainment, Inc. (a) | 788,413 | |||
14,206 | Texas Roadhouse, Inc. | 1,584,679 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Hotels, Restaurants & Leisure (Continued) | |||||
29,654 | Travel + Leisure Co. | $1,207,807 | |||
4,751 | Vail Resorts, Inc. | 1,118,813 | |||
36,667 | Wendy’s (The) Co. | 787,974 | |||
7,969 | Wingstop, Inc. | 1,343,414 | |||
11,327 | Wynn Resorts Ltd. | 1,234,416 | |||
29,725,146 | |||||
Household Durables — 0.5% | |||||
29,855 | Tempur Sealy International, Inc. | 1,332,429 | |||
Independent Power and Renewable Electricity Producers — 0.8% | |||||
75,953 | Vistra Corp. | 2,131,241 | |||
Industrial REITs — 0.4% | |||||
24,690 | Americold Realty Trust, Inc. | 800,450 | |||
7,575 | First Industrial Realty Trust, Inc. | 391,627 | |||
1,192,077 | |||||
Insurance — 1.6% | |||||
3,265 | Enstar Group Ltd. (a) | 835,448 | |||
4,262 | Kinsale Capital Group, Inc. | 1,588,149 | |||
4,276 | RenaissanceRe Holdings Ltd. | 798,586 | |||
2,922 | RLI Corp. | 389,824 | |||
17,766 | Ryan Specialty Holdings, Inc. (a) | 769,979 | |||
4,381,986 | |||||
Leisure Products — 0.9% | |||||
13,190 | Polaris, Inc. | 1,791,729 | |||
40,177 | Topgolf Callaway Brands Corp. (a) | 802,335 | |||
2,594,064 | |||||
Life Sciences Tools & Services — 1.2% | |||||
14,282 | 10X Genomics, Inc., Class A (a) | 899,480 | |||
5,395 | Bruker Corp. | 370,745 | |||
8,301 | Medpace Holdings, Inc. (a) | 2,101,564 | |||
3,371,789 | |||||
Machinery — 5.7% | |||||
8,550 | Albany International Corp., Class A | 823,194 | |||
35,313 | Allison Transmission Holdings, Inc. | 2,072,520 | |||
12,758 | Donaldson Co., Inc. | 801,585 | |||
23,971 | Esab Corp. | 1,646,808 | |||
15,501 | Franklin Electric Co., Inc. | 1,531,809 | |||
13,854 | Graco, Inc. | 1,099,038 | |||
12,834 | ITT, Inc. | 1,278,266 | |||
8,030 | Lincoln Electric Holdings, Inc. | 1,611,701 | |||
3,667 | RBC Bearings, Inc. (a) | 828,925 | |||
33,324 | Terex Corp. | 1,953,786 |
Shares | Description | Value | |||
Machinery (Continued) | |||||
7,846 | Toro (The) Co. | $797,546 | |||
6,511 | Watts Water Technologies, Inc., Class A | 1,214,497 | |||
15,659,675 | |||||
Metals & Mining — 1.4% | |||||
45,077 | ATI, Inc. (a) | 2,149,271 | |||
30,289 | Commercial Metals Co. | 1,733,137 | |||
3,882,408 | |||||
Mortgage REITs — 0.4% | |||||
59,783 | Annaly Capital Management, Inc. | 1,201,041 | |||
Multi-Utilities — 0.1% | |||||
14,580 | NiSource, Inc. | 405,907 | |||
Oil, Gas & Consumable Fuels — 4.2% | |||||
68,751 | Antero Midstream Corp. | 820,887 | |||
17,315 | Antero Resources Corp. (a) | 463,176 | |||
28,741 | Civitas Resources, Inc. | 2,151,551 | |||
9,245 | Denbury, Inc. (a) | 812,728 | |||
48,475 | EQT Corp. | 2,044,676 | |||
66,570 | Kosmos Energy Ltd. (a) | 472,647 | |||
19,079 | Magnolia Oil & Gas Corp., Class A | 422,600 | |||
22,864 | Matador Resources Co. | 1,271,924 | |||
31,234 | Murphy Oil Corp. | 1,351,495 | |||
54,253 | Range Resources Corp. | 1,705,172 | |||
11,516,856 | |||||
Passenger Airlines — 0.7% | |||||
111,136 | American Airlines Group, Inc. (a) | 1,861,528 | |||
Personal Care Products — 1.2% | |||||
43,580 | BellRing Brands, Inc. (a) | 1,566,701 | |||
11,795 | Inter Parfums, Inc. | 1,764,060 | |||
3,330,761 | |||||
Pharmaceuticals — 0.4% | |||||
18,893 | Intra-Cellular Therapies, Inc. (a) | 1,168,343 | |||
Professional Services — 1.3% | |||||
5,955 | Ceridian HCM Holding, Inc. (a) | 421,674 | |||
2,640 | ExlService Holdings, Inc. (a) | 372,108 | |||
10,056 | Insperity, Inc. | 1,183,088 | |||
24,516 | KBR, Inc. | 1,507,489 | |||
3,484,359 | |||||
Real Estate Management & Development — 0.3% | |||||
10,106 | Howard Hughes (The) Corp. (a) | 853,250 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Residential REITs — 0.6% | |||||
11,249 | American Homes 4 Rent, Class A | $421,613 | |||
65,657 | Independence Realty Trust, Inc. | 1,118,795 | |||
1,540,408 | |||||
Retail REITs — 0.4% | |||||
53,548 | Kite Realty Group Trust | 1,225,178 | |||
Semiconductors & Semiconductor Equipment — 4.6% | |||||
35,335 | Allegro MicroSystems, Inc. (a) | 1,823,639 | |||
10,875 | Axcelis Technologies, Inc. (a) | 2,180,220 | |||
4,922 | Cirrus Logic, Inc. (a) | 397,698 | |||
12,934 | Diodes, Inc. (a) | 1,222,134 | |||
12,452 | Lattice Semiconductor Corp. (a) | 1,132,385 | |||
6,085 | MACOM Technology Solutions Holdings, Inc. (a) | 425,463 | |||
13,695 | Onto Innovation, Inc. (a) | 1,702,562 | |||
8,424 | Power Integrations, Inc. | 818,307 | |||
31,070 | Rambus, Inc. (a) | 1,945,293 | |||
5,056 | Silicon Laboratories, Inc. (a) | 754,052 | |||
2,766 | Universal Display Corp. | 403,504 | |||
12,805,257 | |||||
Software — 8.2% | |||||
29,412 | Bentley Systems, Inc., Class B | 1,584,718 | |||
13,573 | Box, Inc., Class A (a) | 424,156 | |||
142,286 | CCC Intelligent Solutions Holdings, Inc. (a) | 1,567,992 | |||
56,465 | Confluent, Inc., Class A (a) | 1,950,301 | |||
51,227 | DoubleVerify Holdings, Inc. (a) | 2,156,657 | |||
44,854 | Dropbox, Inc., Class A (a) | 1,208,815 | |||
23,242 | Dynatrace, Inc. (a) | 1,271,105 | |||
12,438 | Elastic N.V. (a) | 826,505 | |||
6,719 | Envestnet, Inc. (a) | 416,444 | |||
9,673 | Five9, Inc. (a) | 848,806 | |||
23,406 | Gitlab, Inc., Class A (a) | 1,161,640 | |||
5,241 | Guidewire Software, Inc. (a) | 444,542 | |||
7,980 | Manhattan Associates, Inc. (a) | 1,521,147 | |||
6,093 | New Relic, Inc. (a) | 511,690 | |||
42,648 | Nutanix, Inc., Class A (a) | 1,287,970 | |||
18,384 | Procore Technologies, Inc. (a) | 1,394,426 | |||
3,087 | Qualys, Inc. (a) | 428,476 | |||
10,423 | Smartsheet, Inc., Class A (a) | 462,781 | |||
8,305 | SPS Commerce, Inc. (a) | 1,498,139 | |||
9,156 | Tenable Holdings, Inc. (a) | 445,531 | |||
24,065 | UiPath, Inc., Class A (a) | 435,095 | |||
7,845 | Workiva, Inc. (a) | 826,000 | |||
22,672,936 |
Shares | Description | Value | |||
Specialized REITs — 0.3% | |||||
8,929 | CubeSmart | $387,161 | |||
4,017 | Lamar Advertising Co., Class A | 396,478 | |||
783,639 | |||||
Specialty Retail — 3.3% | |||||
14,755 | Academy Sports & Outdoors, Inc. | 882,202 | |||
30,308 | Chewy, Inc., Class A (a) | 1,027,441 | |||
9,050 | Dick’s Sporting Goods, Inc. | 1,276,050 | |||
4,058 | Five Below, Inc. (a) | 845,444 | |||
19,178 | Floor & Decor Holdings, Inc., Class A (a) | 2,202,593 | |||
6,408 | Murphy USA, Inc. | 1,967,448 | |||
21,261 | Valvoline, Inc. | 807,280 | |||
9,008,458 | |||||
Technology Hardware, Storage & Peripherals — 1.5% | |||||
43,320 | Pure Storage, Inc., Class A (a) | 1,602,407 | |||
7,999 | Super Micro Computer, Inc. (a) | 2,641,830 | |||
4,244,237 | |||||
Textiles, Apparel & Luxury Goods — 1.7% | |||||
14,186 | Crocs, Inc. (a) | 1,537,053 | |||
3,779 | Deckers Outdoor Corp. (a) | 2,054,605 | |||
27,950 | Tapestry, Inc. | 1,206,042 | |||
4,797,700 | |||||
Trading Companies & Distributors — 4.2% | |||||
11,013 | Applied Industrial Technologies, Inc. | 1,596,775 | |||
24,027 | Beacon Roofing Supply, Inc. (a) | 2,058,393 | |||
63,617 | Core & Main, Inc., Class A (a) | 2,010,933 | |||
14,570 | Herc Holdings, Inc. | 1,949,903 | |||
5,227 | Watsco, Inc. | 1,976,799 | |||
11,134 | WESCO International, Inc. | 1,954,797 | |||
11,547,600 | |||||
Total Investments — 100.0% | 276,690,389 | ||||
(Cost $233,676,226) | |||||
Net Other Assets and Liabilities — 0.0% | 25,975 | ||||
Net Assets — 100.0% | $276,716,364 |
(a) | Non-income producing security. |
Portfolio of Investments (Continued)
July 31, 2023
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $276,690,389 | $276,690,389 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 100.0% | |||||
Aerospace & Defense — 0.4% | |||||
7,031 | AAR Corp. (a) | $420,454 | |||
1,837 | Moog, Inc., Class A | 193,693 | |||
614,147 | |||||
Air Freight & Logistics — 1.3% | |||||
53,801 | Air Transport Services Group, Inc. (a) | 1,084,628 | |||
12,640 | Hub Group, Inc., Class A (a) | 1,139,243 | |||
2,223,871 | |||||
Automobile Components — 1.6% | |||||
2,527 | Dorman Products, Inc. (a) | 214,012 | |||
59,371 | Goodyear Tire & Rubber (The) Co. (a) | 954,686 | |||
3,213 | LCI Industries | 437,835 | |||
12,690 | Patrick Industries, Inc. | 1,098,319 | |||
2,704,852 | |||||
Automobiles — 0.5% | |||||
12,179 | Winnebago Industries, Inc. | 837,915 | |||
Banks — 24.4% | |||||
14,253 | 1st Source Corp. | 668,466 | |||
23,741 | Ameris Bancorp | 1,036,295 | |||
50,042 | Associated Banc-Corp. | 948,296 | |||
23,030 | Atlantic Union Bankshares Corp. | 736,499 | |||
15,153 | Axos Financial, Inc. (a) | 712,191 | |||
6,102 | Bancorp (The), Inc. (a) | 231,266 | |||
9,849 | Bank of Hawaii Corp. (b) | 562,673 | |||
37,689 | BankUnited, Inc. | 1,124,640 | |||
13,686 | Banner Corp. | 651,590 | |||
28,830 | Berkshire Hills Bancorp, Inc. | 657,612 | |||
92,927 | Brookline Bancorp, Inc. | 992,460 | |||
65,817 | Capitol Federal Financial, Inc. | 436,367 | |||
25,231 | Cathay General Bancorp | 959,787 | |||
9,824 | Columbia Banking System, Inc. | 219,566 | |||
4,249 | Community Bank System, Inc. | 228,724 | |||
57,585 | Dime Community Bancshares, Inc. | 1,289,904 | |||
47,979 | Eagle Bancorp, Inc. | 1,329,018 | |||
20,772 | Enterprise Financial Services Corp. | 851,652 | |||
14,477 | FB Financial Corp. | 512,775 | |||
20,089 | First Bancorp | 664,544 | |||
33,231 | First BanCorp | 493,480 | |||
29,734 | First Busey Corp. | 644,038 | |||
32,102 | First Commonwealth Financial Corp. | 463,553 | |||
39,735 | First Financial Bancorp | 917,481 | |||
28,770 | First Merchants Corp. | 924,092 | |||
68,137 | Fulton Financial Corp. | 974,359 | |||
36,427 | Heartland Financial USA, Inc. | 1,250,903 |
Shares | Description | Value | |||
Banks (Continued) | |||||
6,332 | Hilltop Holdings, Inc. | $195,849 | |||
120,574 | Hope Bancorp, Inc. | 1,309,434 | |||
17,308 | Independent Bank Group, Inc. | 776,610 | |||
13,521 | International Bancshares Corp. | 671,182 | |||
22,716 | Live Oak Bancshares, Inc. | 860,255 | |||
13,984 | National Bank Holdings Corp., Class A | 480,490 | |||
12,750 | NBT Bancorp, Inc. | 474,300 | |||
56,382 | Northwest Bancshares, Inc. | 696,882 | |||
64,996 | OceanFirst Financial Corp. | 1,210,876 | |||
31,142 | OFG Bancorp | 1,042,946 | |||
20,397 | Origin Bancorp, Inc. | 664,942 | |||
39,274 | Pacific Premier Bancorp, Inc. | 1,003,058 | |||
24,444 | PacWest Bancorp (b) | 227,329 | |||
3,968 | Park National Corp. | 442,511 | |||
8,760 | Pathward Financial, Inc. | 455,170 | |||
49,706 | Provident Financial Services, Inc. | 921,549 | |||
31,083 | Renasant Corp. | 961,708 | |||
44,763 | Sandy Spring Bancorp, Inc. | 1,095,351 | |||
18,376 | Seacoast Banking Corp. of Florida | 454,071 | |||
34,646 | Simmons First National Corp., Class A | 699,503 | |||
22,846 | Southside Bancshares, Inc. | 758,716 | |||
17,741 | Stellar Bancorp, Inc. | 441,041 | |||
15,770 | Texas Capital Bancshares, Inc. (a) | 1,006,915 | |||
25,716 | TowneBank | 650,101 | |||
3,280 | Triumph Financial, Inc. | 232,585 | |||
28,298 | Trustmark Corp. | 743,106 | |||
45,298 | Veritex Holdings, Inc. | 974,360 | |||
30,625 | Washington Federal, Inc. | 950,600 | |||
31,713 | WesBanco, Inc. | 888,281 | |||
15,844 | WSFS Financial Corp. | 693,175 | |||
42,465,127 | |||||
Broadline Retail — 0.1% | |||||
9,732 | Nordstrom, Inc. | 224,907 | |||
Building Products — 0.8% | |||||
3,166 | Gibraltar Industries, Inc. (a) | 204,745 | |||
13,931 | PGT Innovations, Inc. (a) | 398,566 | |||
45,990 | Resideo Technologies, Inc. (a) | 860,933 | |||
1,464,244 | |||||
Capital Markets — 2.1% | |||||
5,068 | Artisan Partners Asset Management, Inc., Class A | 210,271 | |||
8,920 | Donnelley Financial Solutions, Inc. (a) | 421,916 | |||
30,816 | Golub Capital BDC, Inc. (b) | 429,267 | |||
1,541 | Piper Sandler Cos. | 225,541 | |||
7,194 | StoneX Group, Inc. (a) | 661,920 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Capital Markets (Continued) | |||||
25,751 | Victory Capital Holdings, Inc., Class A | $853,903 | |||
11,657 | Virtu Financial, Inc., Class A | 216,354 | |||
3,026 | Virtus Investment Partners, Inc. | 622,539 | |||
3,641,711 | |||||
Chemicals — 2.4% | |||||
29,023 | AdvanSix, Inc. | 1,164,113 | |||
35,435 | Ecovyst, Inc. (a) | 435,496 | |||
39,527 | Mativ Holdings, Inc. | 622,155 | |||
14,078 | Minerals Technologies, Inc. | 863,685 | |||
97,178 | Perimeter Solutions S.A. (a) | 540,310 | |||
2,800 | Sensient Technologies Corp. | 179,312 | |||
4,249 | Stepan Co. | 407,139 | |||
4,212,210 | |||||
Commercial Services & Supplies — 2.8% | |||||
8,537 | Brady Corp., Class A | 440,338 | |||
107,888 | CoreCivic, Inc. (a) | 1,046,514 | |||
141,792 | GEO Group (The), Inc. (a) | 1,059,186 | |||
21,208 | HNI Corp. | 616,941 | |||
68,690 | MillerKnoll, Inc. | 1,344,263 | |||
2,620 | UniFirst Corp. | 425,226 | |||
4,932,468 | |||||
Communications Equipment — 0.3% | |||||
18,919 | ADTRAN Holdings, Inc. | 184,082 | |||
13,121 | NetScout Systems, Inc. (a) | 366,732 | |||
550,814 | |||||
Construction & Engineering — 1.3% | |||||
10,719 | Arcosa, Inc. | 827,292 | |||
10,208 | Granite Construction, Inc. | 417,814 | |||
1,440 | MYR Group, Inc. (a) | 205,286 | |||
26,655 | Primoris Services Corp. | 846,563 | |||
2,296,955 | |||||
Consumer Finance — 2.3% | |||||
32,342 | Bread Financial Holdings, Inc. | 1,344,457 | |||
8,352 | Encore Capital Group, Inc. (a) | 446,832 | |||
15,289 | Enova International, Inc. (a) | 842,271 | |||
43,712 | Navient Corp. | 832,277 | |||
4,209 | Nelnet, Inc., Class A | 415,344 | |||
8,719 | PRA Group, Inc. (a) | 208,035 | |||
4,089,216 | |||||
Consumer Staples Distribution & Retail — 2.4% | |||||
17,599 | Andersons (The), Inc. | 859,183 | |||
12,284 | Ingles Markets, Inc., Class A | 1,041,683 | |||
5,484 | PriceSmart, Inc. | 426,271 |
Shares | Description | Value | |||
Consumer Staples Distribution & Retail (Continued) | |||||
51,930 | United Natural Foods, Inc. (a) | $1,080,144 | |||
12,649 | Weis Markets, Inc. | 839,135 | |||
4,246,416 | |||||
Containers & Packaging — 1.5% | |||||
47,596 | O-I Glass, Inc. (a) | 1,092,804 | |||
134,112 | Pactiv Evergreen, Inc. | 1,154,704 | |||
14,772 | TriMas Corp. | 380,527 | |||
2,628,035 | |||||
Diversified Consumer Services — 1.9% | |||||
114,328 | Chegg, Inc. (a) | 1,158,143 | |||
6,245 | Frontdoor, Inc. (a) | 218,075 | |||
711 | Graham Holdings Co., Class B | 417,179 | |||
16,477 | Laureate Education, Inc. | 211,235 | |||
5,986 | Strategic Education, Inc. | 449,549 | |||
21,816 | Stride, Inc. (a) | 833,589 | |||
3,287,770 | |||||
Diversified REITs — 2.0% | |||||
42,301 | American Assets Trust, Inc. | 951,772 | |||
52,603 | Broadstone Net Lease, Inc. | 857,429 | |||
108,435 | Empire State Realty Trust, Inc., Class A | 970,493 | |||
58,136 | Global Net Lease, Inc. | 621,474 | |||
3,401,168 | |||||
Diversified Telecommunication Services — 0.3% | |||||
69,332 | Liberty Latin America Ltd., Class C (a) | 576,842 | |||
Electrical Equipment — 0.5% | |||||
161,148 | GrafTech International Ltd. | 850,861 | |||
Electronic Equipment, Instruments & Components — 2.1% | |||||
10,615 | ePlus, Inc. (a) | 598,155 | |||
17,830 | Methode Electronics, Inc. | 599,801 | |||
1,691 | OSI Systems, Inc. (a) | 201,618 | |||
4,134 | Plexus Corp. (a) | 407,158 | |||
1,230 | Rogers Corp. (a) | 207,390 | |||
58,430 | TTM Technologies, Inc. (a) | 839,055 | |||
27,626 | Vishay Intertechnology, Inc. | 777,672 | |||
3,630,849 | |||||
Energy Equipment & Services — 1.0% | |||||
39,619 | Archrock, Inc. | 461,958 | |||
10,654 | Oceaneering International, Inc. (a) | 239,182 | |||
98,567 | ProPetro Holding Corp. (a) | 1,029,039 | |||
1,730,179 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Financial Services — 3.0% | |||||
9,857 | Cannae Holdings, Inc. (a) | $200,886 | |||
9,185 | Compass Diversified Holdings | 206,938 | |||
11,026 | EVERTEC, Inc. | 433,652 | |||
31,751 | Merchants Bancorp | 1,003,649 | |||
11,802 | Mr. Cooper Group, Inc. (a) | 684,162 | |||
39,319 | NMI Holdings, Inc., Class A (a) | 1,050,210 | |||
8,500 | PennyMac Financial Services, Inc. | 639,455 | |||
10,269 | Walker & Dunlop, Inc. | 934,274 | |||
5,153,226 | |||||
Food Products — 0.6% | |||||
39,488 | Fresh Del Monte Produce, Inc. | 1,049,591 | |||
Gas Utilities — 0.5% | |||||
18,866 | Northwest Natural Holding Co. | 810,672 | |||
Ground Transportation — 2.1% | |||||
8,221 | ArcBest Corp. | 956,267 | |||
61,866 | Heartland Express, Inc. | 1,011,509 | |||
28,279 | Schneider National, Inc., Class B | 871,276 | |||
18,384 | Werner Enterprises, Inc. | 864,416 | |||
3,703,468 | |||||
Health Care Equipment & Supplies — 0.4% | |||||
23,382 | Avanos Medical, Inc. (a) | 572,158 | |||
2,248 | Integer Holdings Corp. (a) | 207,895 | |||
780,053 | |||||
Health Care Providers & Services — 1.0% | |||||
6,305 | Apollo Medical Holdings, Inc. (a) | 230,952 | |||
4,406 | ModivCare, Inc. (a) | 192,719 | |||
21,328 | Owens & Minor, Inc. (a) | 410,351 | |||
12,210 | Patterson Cos., Inc. | 401,587 | |||
42,058 | Pediatrix Medical Group, Inc. (a) | 577,456 | |||
1,813,065 | |||||
Health Care REITs — 0.4% | |||||
7,747 | National Health Investors, Inc. | 425,388 | |||
16,926 | Sabra Health Care REIT, Inc. | 219,869 | |||
645,257 | |||||
Health Care Technology — 0.5% | |||||
64,459 | Veradigm, Inc. (a) | 871,486 | |||
Hotel & Resort REITs — 0.6% | |||||
79,191 | Park Hotels & Resorts, Inc. | 1,079,373 | |||
Hotels, Restaurants & Leisure — 0.1% | |||||
2,138 | Cracker Barrel Old Country Store, Inc. | 199,262 |
Shares | Description | Value | |||
Household Durables — 5.1% | |||||
2,026 | Cavco Industries, Inc. (a) | $598,987 | |||
13,250 | Century Communities, Inc. | 1,023,165 | |||
10,522 | Green Brick Partners, Inc. (a) | 594,703 | |||
3,760 | Helen of Troy Ltd. (a) | 531,288 | |||
19,633 | KB Home | 1,059,593 | |||
35,448 | La-Z-Boy, Inc. | 1,112,004 | |||
4,431 | LGI Homes, Inc. (a) | 614,801 | |||
21,706 | M.D.C. Holdings, Inc. | 1,113,084 | |||
11,644 | M/I Homes, Inc. (a) | 1,164,400 | |||
30,895 | Tri Pointe Homes, Inc. (a) | 984,933 | |||
8,796,958 | |||||
Household Products — 0.5% | |||||
16,391 | Central Garden & Pet Co., Class A (a) | 626,464 | |||
1,056 | WD-40 Co. | 242,352 | |||
868,816 | |||||
Industrial REITs — 0.4% | |||||
61,297 | LXP Industrial Trust | 617,261 | |||
Insurance — 2.3% | |||||
25,249 | CNO Financial Group, Inc. | 649,404 | |||
15,975 | Employers Holdings, Inc. | 617,114 | |||
203,046 | Genworth Financial, Inc., Class A (a) | 1,189,850 | |||
2,778 | Safety Insurance Group, Inc. | 200,016 | |||
22,061 | SiriusPoint Ltd. (a) | 206,050 | |||
24,677 | Stewart Information Services Corp. | 1,163,027 | |||
4,025,461 | |||||
Interactive Media & Services — 0.5% | |||||
26,409 | Cargurus, Inc. (a) | 598,428 | |||
4,094 | Shutterstock, Inc. | 210,636 | |||
809,064 | |||||
IT Services — 0.1% | |||||
15,001 | Kyndryl Holdings, Inc. (a) | 204,914 | |||
Leisure Products — 0.5% | |||||
13,845 | Malibu Boats, Inc., Class A (a) | 830,008 | |||
Machinery — 1.3% | |||||
2,208 | Alamo Group, Inc. | 427,822 | |||
4,476 | EnPro Industries, Inc. | 621,179 | |||
21,051 | Kennametal, Inc. | 641,635 | |||
12,274 | Mueller Water Products, Inc., Class A | 197,489 | |||
9,030 | Shyft Group (The), Inc. | 130,303 | |||
2,456 | Tennant Co. | 197,069 | |||
2,215,497 | |||||
Marine Transportation — 0.7% | |||||
13,061 | Matson, Inc. | 1,220,681 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Media — 0.6% | |||||
65,965 | Altice USA, Inc., Class A (a) | $223,621 | |||
5,854 | John Wiley & Sons, Inc., Class A | 200,383 | |||
15,367 | Scholastic Corp. | 663,701 | |||
1,087,705 | |||||
Metals & Mining — 2.1% | |||||
6,176 | Alpha Metallurgical Resources, Inc. | 1,069,807 | |||
23,403 | Ryerson Holding Corp. | 994,393 | |||
26,065 | Warrior Met Coal, Inc. | 1,153,376 | |||
5,845 | Worthington Industries, Inc. | 436,154 | |||
3,653,730 | |||||
Mortgage REITs — 1.5% | |||||
40,327 | Arbor Realty Trust, Inc. (b) | 681,929 | |||
52,702 | Claros Mortgage Trust, Inc. | 649,289 | |||
74,856 | Ladder Capital Corp. | 822,667 | |||
36,001 | Ready Capital Corp. | 416,532 | |||
2,570,417 | |||||
Multi-Utilities — 0.7% | |||||
15,218 | Avista Corp. | 588,023 | |||
10,529 | NorthWestern Corp. | 594,573 | |||
1,182,596 | |||||
Office REITs — 4.3% | |||||
47,545 | Douglas Emmett, Inc. | 698,912 | |||
13,739 | Easterly Government Properties, Inc. | 202,788 | |||
20,045 | Equity Commonwealth | 392,682 | |||
42,461 | Highwoods Properties, Inc. | 1,072,989 | |||
240,576 | Hudson Pacific Properties, Inc. | 1,412,181 | |||
67,502 | JBG SMITH Properties | 1,129,308 | |||
183,337 | Paramount Group, Inc. | 960,686 | |||
139,646 | Piedmont Office Realty Trust, Inc., Class A | 1,038,966 | |||
13,514 | SL Green Realty Corp. (b) | 509,613 | |||
7,418,125 | |||||
Oil, Gas & Consumable Fuels — 4.4% | |||||
9,004 | Arch Resources, Inc. | 1,156,474 | |||
22,416 | California Resources Corp. | 1,195,893 | |||
28,948 | Callon Petroleum Co. (a) | 1,087,287 | |||
33,912 | Delek US Holdings, Inc. | 935,632 | |||
9,662 | Gulfport Energy Corp. (a) | 989,872 | |||
38,152 | Par Pacific Holdings, Inc. (a) | 1,201,025 | |||
49,093 | World Kinect Corp. | 1,106,556 | |||
7,672,739 | |||||
Paper & Forest Products — 0.6% | |||||
20,079 | Sylvamo Corp. | 985,277 |
Shares | Description | Value | |||
Passenger Airlines — 0.3% | |||||
1,577 | Allegiant Travel Co. (a) | $195,075 | |||
45,835 | JetBlue Airways Corp. (a) | 356,138 | |||
551,213 | |||||
Personal Care Products — 1.3% | |||||
9,831 | Edgewell Personal Care Co. | 387,440 | |||
45,140 | Herbalife Ltd. (a) | 733,073 | |||
6,485 | Medifast, Inc. | 660,757 | |||
18,001 | Nu Skin Enterprises, Inc., Class A | 529,049 | |||
2,310,319 | |||||
Pharmaceuticals — 0.3% | |||||
2,763 | Ligand Pharmaceuticals, Inc. (a) | 184,928 | |||
13,509 | Supernus Pharmaceuticals, Inc. (a) | 414,591 | |||
599,519 | |||||
Professional Services — 0.6% | |||||
3,777 | CSG Systems International, Inc. | 194,855 | |||
12,928 | First Advantage Corp. (a) | 193,920 | |||
3,179 | Kforce, Inc. | 201,676 | |||
12,000 | TTEC Holdings, Inc. | 413,280 | |||
1,003,731 | |||||
Real Estate Management & Development — 0.9% | |||||
12,887 | Marcus & Millichap, Inc. | 472,695 | |||
163,220 | Newmark Group, Inc., Class A | 1,129,483 | |||
1,602,178 | |||||
Retail REITs — 0.5% | |||||
13,844 | Acadia Realty Trust | 217,489 | |||
25,828 | InvenTrust Properties Corp. | 628,654 | |||
846,143 | |||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||
9,771 | Cohu, Inc. (a) | 426,504 | |||
Software — 0.9% | |||||
8,598 | ACI Worldwide, Inc. (a) | 199,388 | |||
13,100 | Consensus Cloud Solutions, Inc. (a) | 424,571 | |||
43,760 | Digital Turbine, Inc. (a) | 474,358 | |||
4,206 | InterDigital, Inc. | 389,854 | |||
1,488,171 | |||||
Specialty Retail — 3.2% | |||||
5,287 | Abercrombie & Fitch Co., Class A (a) | 209,418 | |||
50,648 | American Eagle Outfitters, Inc. | 711,604 | |||
3,933 | Group 1 Automotive, Inc. | 1,016,799 | |||
30,728 | Guess?, Inc. | 644,981 | |||
17,347 | ODP (The) Corp. (a) | 865,268 | |||
12,147 | Revolve Group, Inc. (a) | 239,539 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Specialty Retail (Continued) | |||||
48,393 | Sally Beauty Holdings, Inc. (a) | $579,264 | |||
4,179 | Sonic Automotive, Inc., Class A | 200,132 | |||
6,399 | Upbound Group, Inc. | 221,597 | |||
24,515 | Urban Outfitters, Inc. (a) | 891,611 | |||
5,580,213 | |||||
Technology Hardware, Storage & Peripherals — 0.1% | |||||
13,379 | Xerox Holdings Corp. | 213,796 | |||
Textiles, Apparel & Luxury Goods — 0.7% | |||||
5,594 | Carter’s, Inc. | 419,606 | |||
28,142 | Levi Strauss & Co., Class A | 424,100 | |||
12,423 | Steven Madden Ltd. | 414,680 | |||
1,258,386 | |||||
Tobacco — 0.6% | |||||
20,329 | Universal Corp. | 1,028,038 | |||
Trading Companies & Distributors — 2.3% | |||||
11,236 | Boise Cascade Co. | 1,162,814 | |||
78,396 | NOW, Inc. (a) | 892,930 | |||
13,371 | Rush Enterprises, Inc., Class A | 864,836 | |||
8,083 | Veritiv Corp. | 1,132,671 | |||
4,053,251 | |||||
Water Utilities — 0.1% | |||||
3,858 | California Water Service Group | 204,551 | |||
Wireless Telecommunication Services — 1.2% | |||||
123,357 | Telephone and Data Systems, Inc. | 989,323 | |||
57,585 | United States Cellular Corp. (a) | 1,019,830 | |||
2,009,153 | |||||
Total Common Stocks | 174,050,425 | ||||
(Cost $168,141,967) | |||||
MONEY MARKET FUNDS — 0.1% | |||||
215,839 | Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | 215,839 | |||
(Cost $215,839) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 1.2% | |||||
$2,133,954 | BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $2,134,264. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $2,176,680. (d) | $2,133,954 | |||
(Cost $2,133,954) | |||||
Total Investments — 101.3% | 176,400,218 | ||||
(Cost $170,491,760) | |||||
Net Other Assets and Liabilities — (1.3)% | (2,263,803 ) | ||||
Net Assets — 100.0% | $174,136,415 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $2,276,137 and the total value of the collateral held by the Fund is $2,349,793. |
(c) | Rate shown reflects yield as of July 31, 2023. |
(d) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $174,050,425 | $174,050,425 | $— | $— |
Money Market Funds | 215,839 | 215,839 | — | — |
Repurchase Agreements | 2,133,954 | — | 2,133,954 | — |
Total Investments | $176,400,218 | $174,266,264 | $2,133,954 | $— |
* | See Portfolio of Investments for industry breakout. |
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $2,276,137 |
Non-cash Collateral(2) | (2,276,137 ) |
Net Amount | $— |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $2,133,954 |
Non-cash Collateral(4) | (2,133,954 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Portfolio of Investments
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS — 99.9% | |||||
Aerospace & Defense — 1.2% | |||||
10,843 | AeroVironment, Inc. (a) | $1,032,904 | |||
231,044 | Rocket Lab USA, Inc. (a) | 1,702,794 | |||
2,735,698 | |||||
Air Freight & Logistics — 0.3% | |||||
5,226 | Forward Air Corp. | 621,058 | |||
Automobile Components — 1.6% | |||||
118,614 | Luminar Technologies, Inc. (a) (b) | 877,744 | |||
41,983 | Modine Manufacturing Co. (a) | 1,576,881 | |||
16,460 | XPEL, Inc. (a) (c) | 1,337,046 | |||
3,791,671 | |||||
Banks — 0.7% | |||||
8,870 | BancFirst Corp. | 886,113 | |||
3,023 | City Holding Co. | 299,005 | |||
10,004 | S&T Bancorp, Inc. | 315,926 | |||
1,501,044 | |||||
Beverages — 0.3% | |||||
5,217 | MGP Ingredients, Inc. | 594,790 | |||
Biotechnology — 7.5% | |||||
46,305 | ACADIA Pharmaceuticals, Inc. (a) | 1,353,958 | |||
39,160 | Agios Pharmaceuticals, Inc. (a) | 1,038,523 | |||
47,445 | Bridgebio Pharma, Inc. (a) | 1,661,049 | |||
41,258 | Catalyst Pharmaceuticals, Inc. (a) | 570,598 | |||
107,296 | Dynavax Technologies Corp. (a) | 1,501,071 | |||
254,225 | Geron Corp. (a) | 823,689 | |||
26,280 | Insmed, Inc. (a) | 580,525 | |||
66,836 | MannKind Corp. (a) | 305,441 | |||
24,180 | Morphic Holding, Inc. (a) | 1,371,731 | |||
11,952 | Prothena Corp. PLC (a) | 823,134 | |||
13,634 | PTC Therapeutics, Inc. (a) | 549,996 | |||
74,231 | Recursion Pharmaceuticals, Inc., Class A (a) | 1,048,142 | |||
20,729 | REVOLUTION Medicines, Inc. (a) | 544,136 | |||
33,627 | Rhythm Pharmaceuticals, Inc. (a) | 599,906 | |||
23,586 | Sage Therapeutics, Inc. (a) | 817,962 | |||
44,646 | TG Therapeutics, Inc. (a) | 923,726 | |||
27,102 | Twist Bioscience Corp. (a) | 659,663 | |||
5,897 | Ultragenyx Pharmaceutical, Inc. (a) | 254,279 | |||
32,040 | Veracyte, Inc. (a) | 879,498 | |||
29,518 | Vericel Corp. (a) | 1,060,287 | |||
17,367,314 | |||||
Building Products — 2.0% | |||||
8,341 | CSW Industrials, Inc. | 1,505,967 |
Shares | Description | Value | |||
Building Products (Continued) | |||||
34,398 | Griffon Corp. | $1,435,084 | |||
43,152 | Hayward Holdings, Inc. (a) | 576,511 | |||
104,035 | Janus International Group, Inc. (a) | 1,188,080 | |||
4,705,642 | |||||
Capital Markets — 1.7% | |||||
27,514 | AssetMark Financial Holdings, Inc. (a) | 822,669 | |||
24,119 | B. Riley Financial, Inc. (b) | 1,339,328 | |||
13,866 | Hamilton Lane, Inc., Class A | 1,226,170 | |||
3,906 | PJT Partners, Inc., Class A | 309,785 | |||
9,297 | TPG, Inc. | 273,611 | |||
3,971,563 | |||||
Chemicals — 1.2% | |||||
146,248 | Ginkgo Bioworks Holdings, Inc. (a) (b) | 367,082 | |||
4,677 | Ingevity Corp. (a) | 299,422 | |||
8,125 | Innospec, Inc. | 870,513 | |||
52,262 | Orion S.A. | 1,145,583 | |||
2,682,600 | |||||
Commercial Services & Supplies — 1.0% | |||||
13,001 | ABM Industries, Inc. | 601,686 | |||
16,350 | Brink’s (The) Co. | 1,192,896 | |||
13,165 | Montrose Environmental Group, Inc. (a) | 532,788 | |||
2,327,370 | |||||
Communications Equipment — 1.7% | |||||
48,316 | CommScope Holding Co., Inc. (a) | 217,422 | |||
28,155 | Digi International, Inc. (a) | 1,180,539 | |||
53,215 | Extreme Networks, Inc. (a) | 1,414,987 | |||
68,584 | Harmonic, Inc. (a) | 1,023,273 | |||
3,836,221 | |||||
Construction & Engineering — 0.8% | |||||
11,403 | Ameresco, Inc., Class A (a) | 663,768 | |||
12,198 | Dycom Industries, Inc. (a) | 1,214,677 | |||
1,878,445 | |||||
Consumer Staples Distribution & Retail — 0.5% | |||||
31,013 | Chefs’ Warehouse (The), Inc. (a) | 1,127,012 | |||
Diversified Consumer Services — 1.3% | |||||
7,921 | Adtalem Global Education, Inc. (a) | 342,504 | |||
7,759 | Duolingo, Inc. (a) | 1,204,119 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Diversified Consumer Services (Continued) | |||||
57,462 | Mister Car Wash, Inc. (a) | $570,598 | |||
76,054 | Udemy, Inc. (a) | 898,198 | |||
3,015,419 | |||||
Diversified Telecommunication Services — 0.2% | |||||
8,240 | Cogent Communications Holdings, Inc. | 504,618 | |||
Electric Utilities — 0.7% | |||||
7,009 | MGE Energy, Inc. | 562,402 | |||
14,045 | Otter Tail Corp. | 1,137,786 | |||
1,700,188 | |||||
Electrical Equipment — 2.7% | |||||
61,339 | Array Technologies, Inc. (a) | 1,168,508 | |||
7,456 | Encore Wire Corp. | 1,272,665 | |||
52,037 | Fluence Energy, Inc. (a) (b) | 1,521,562 | |||
21,694 | Shoals Technologies Group, Inc., Class A (a) | 563,176 | |||
96,941 | Stem, Inc. (a) (b) | 685,373 | |||
10,269 | Vicor Corp. (a) | 947,520 | |||
6,158,804 | |||||
Electronic Equipment, Instruments & Components — 0.5% | |||||
13,007 | CTS Corp. | 580,502 | |||
30,703 | Knowles Corp. (a) | 560,944 | |||
1,141,446 | |||||
Energy Equipment & Services — 3.8% | |||||
97,350 | Diamond Offshore Drilling, Inc. (a) | 1,541,050 | |||
62,585 | Expro Group Holdings N.V. (a) | 1,388,761 | |||
150,272 | Helix Energy Solutions Group, Inc. (a) | 1,442,611 | |||
82,948 | Liberty Energy, Inc. | 1,366,154 | |||
2,924 | Nabors Industries Ltd. (a) | 358,161 | |||
24,375 | ProFrac Holding Corp., Class A (a) | 313,706 | |||
77,553 | RPC, Inc. | 645,241 | |||
25,005 | Tidewater, Inc. (a) | 1,578,066 | |||
8,633,750 | |||||
Entertainment — 1.5% | |||||
84,016 | Cinemark Holdings, Inc. (a) | 1,402,227 | |||
50,612 | Sphere Entertainment Co. (a) | 2,148,479 | |||
3,550,706 | |||||
Financial Services — 2.8% | |||||
106,841 | AvidXchange Holdings, Inc. (a) | 1,325,897 | |||
9,644 | Federal Agricultural Mortgage Corp., Class C | 1,550,273 |
Shares | Description | Value | |||
Financial Services (Continued) | |||||
35,728 | Flywire Corp. (a) | $1,219,754 | |||
55,857 | Marqeta, Inc., Class A (a) | 311,682 | |||
115,281 | Payoneer Global, Inc. (a) | 613,295 | |||
73,659 | Remitly Global, Inc. (a) | 1,420,145 | |||
6,441,046 | |||||
Food Products — 2.2% | |||||
12,322 | Cal-Maine Foods, Inc. | 569,153 | |||
12,400 | Freshpet, Inc. (a) | 911,896 | |||
32,230 | Hostess Brands, Inc. (a) | 774,809 | |||
5,153 | J & J Snack Foods Corp. | 826,129 | |||
70,872 | Sovos Brands, Inc. (a) | 1,261,522 | |||
7,682 | Tootsie Roll Industries, Inc. | 267,795 | |||
33,894 | Utz Brands, Inc. | 567,724 | |||
5,179,028 | |||||
Gas Utilities — 0.1% | |||||
2,286 | Chesapeake Utilities Corp. | 270,297 | |||
Ground Transportation — 0.5% | |||||
51,582 | Marten Transport Ltd. | 1,168,848 | |||
Health Care Equipment & Supplies — 3.2% | |||||
77,100 | Alphatec Holdings, Inc. (a) | 1,362,357 | |||
16,533 | AtriCure, Inc. (a) | 915,102 | |||
15,574 | Glaukos Corp. (a) | 1,201,378 | |||
2,608 | iRhythm Technologies, Inc. (a) | 273,996 | |||
25,355 | Outset Medical, Inc. (a) | 521,806 | |||
15,334 | Paragon 28, Inc. (a) | 270,952 | |||
15,686 | PROCEPT BioRobotics Corp. (a) | 540,226 | |||
16,507 | TransMedics Group, Inc. (a) | 1,538,122 | |||
31,902 | Treace Medical Concepts, Inc. (a) | 727,047 | |||
7,350,986 | |||||
Health Care Providers & Services — 4.1% | |||||
22,352 | AdaptHealth Corp. (a) | 307,116 | |||
2,934 | Addus HomeCare Corp. (a) | 268,666 | |||
16,486 | Agiliti, Inc. (a) | 283,065 | |||
47,308 | Alignment Healthcare, Inc. (a) | 293,783 | |||
4,217 | CorVel Corp. (a) | 862,629 | |||
22,795 | Guardant Health, Inc. (a) | 889,461 | |||
147,475 | Hims & Hers Health, Inc. (a) | 1,322,851 | |||
151,836 | LifeStance Health Group, Inc. (a) | 1,425,740 | |||
6,252 | National Research Corp. | 268,273 | |||
21,237 | Privia Health Group, Inc. (a) | 592,937 | |||
35,238 | Progyny, Inc. (a) | 1,471,539 | |||
42,497 | RadNet, Inc. (a) | 1,405,801 | |||
9,391,861 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Health Care REITs — 0.1% | |||||
13,697 | CareTrust REIT, Inc. | $284,761 | |||
Health Care Technology — 1.4% | |||||
24,729 | Definitive Healthcare Corp. (a) | 292,544 | |||
18,301 | Evolent Health, Inc., Class A (a) | 556,167 | |||
16,771 | NextGen Healthcare, Inc. (a) | 278,902 | |||
17,881 | Phreesia, Inc. (a) | 567,185 | |||
27,770 | Schrodinger, Inc. (a) | 1,452,649 | |||
3,147,447 | |||||
Hotel & Resort REITs — 2.3% | |||||
101,880 | DiamondRock Hospitality Co. | 865,980 | |||
58,541 | Pebblebrook Hotel Trust | 904,459 | |||
79,461 | RLJ Lodging Trust | 818,448 | |||
127,619 | Service Properties Trust | 1,083,485 | |||
109,586 | Sunstone Hotel Investors, Inc. | 1,116,681 | |||
45,045 | Xenia Hotels & Resorts, Inc. | 572,072 | |||
5,361,125 | |||||
Hotels, Restaurants & Leisure — 6.0% | |||||
51,553 | Bloomin’ Brands, Inc. | 1,385,229 | |||
23,370 | Bowlero Corp. (a) | 283,478 | |||
30,301 | Brinker International, Inc. (a) | 1,190,223 | |||
32,071 | Cheesecake Factory (The), Inc. | 1,179,571 | |||
31,110 | Dave & Buster’s Entertainment, Inc. (a) | 1,424,838 | |||
4,688 | Dine Brands Global, Inc. | 282,780 | |||
9,561 | Dutch Bros, Inc., Class A (a) (b) | 296,487 | |||
18,812 | Everi Holdings, Inc. (a) | 279,170 | |||
14,214 | Jack in the Box, Inc. | 1,413,014 | |||
7,871 | Monarch Casino & Resort, Inc. | 545,618 | |||
3,684 | Papa John’s International, Inc. | 304,667 | |||
136,242 | Playa Hotels & Resorts N.V. (a) | 1,111,735 | |||
17,445 | Red Rock Resorts, Inc., Class A | 846,083 | |||
85,273 | Sabre Corp. (a) | 349,619 | |||
17,837 | Shake Shack, Inc., Class A (a) | 1,385,221 | |||
21,343 | Six Flags Entertainment Corp. (a) | 510,098 | |||
82,639 | Target Hospitality Corp. (a) | 1,055,300 | |||
13,843,131 | |||||
Household Durables — 1.1% | |||||
9,891 | Installed Building Products, Inc. | 1,464,066 | |||
16,944 | Skyline Champion Corp. (a) | 1,180,319 | |||
2,644,385 | |||||
Household Products — 0.3% | |||||
16,513 | Energizer Holdings, Inc. | 589,514 |
Shares | Description | Value | |||
Independent Power and Renewable Electricity Producers — 0.6% | |||||
50,374 | Altus Power, Inc. (a) | $343,047 | |||
60,569 | Sunnova Energy International, Inc. (a) (b) | 1,069,648 | |||
1,412,695 | |||||
Insurance — 0.6% | |||||
22,377 | BRP Group, Inc., Class A (a) | 557,411 | |||
14,060 | Palomar Holdings, Inc. (a) | 851,474 | |||
1,408,885 | |||||
Interactive Media & Services — 1.5% | |||||
69,943 | Cars.com, Inc. (a) | 1,595,400 | |||
33,627 | TripAdvisor, Inc. (a) | 627,143 | |||
62,444 | ZipRecruiter, Inc., Class A (a) | 1,156,463 | |||
3,379,006 | |||||
IT Services — 1.4% | |||||
27,629 | DigitalOcean Holdings, Inc. (a) | 1,368,188 | |||
9,793 | Perficient, Inc. (a) | 624,695 | |||
35,162 | Squarespace, Inc., Class A (a) | 1,165,269 | |||
3,158,152 | |||||
Leisure Products — 0.5% | |||||
20,282 | Acushnet Holdings Corp. | 1,209,416 | |||
Life Sciences Tools & Services — 0.4% | |||||
1,080 | OmniAb, Inc. - 12.5 Earnout Shares (a) (d) (e) (f) (g) | 0 | |||
1,080 | OmniAb, Inc. - 15 Earnout Shares (a) (d) (e) (f) (g) | 0 | |||
61,358 | Pacific Biosciences of California, Inc. (a) | 810,539 | |||
810,539 | |||||
Machinery — 4.5% | |||||
29,197 | Energy Recovery, Inc. (a) | 889,925 | |||
30,224 | Enerpac Tool Group Corp. | 830,556 | |||
10,702 | ESCO Technologies, Inc. | 1,076,086 | |||
21,650 | Federal Signal Corp. | 1,322,598 | |||
8,390 | Helios Technologies, Inc. | 530,248 | |||
21,627 | Hillenbrand, Inc. | 1,123,306 | |||
3,674 | Kadant, Inc. | 818,751 | |||
197,117 | Nikola Corp. (a) (b) | 526,302 | |||
7,839 | Standex International Corp. | 1,164,640 | |||
31,741 | Trinity Industries, Inc. | 832,249 | |||
54,066 | Wabash National Corp. | 1,280,283 | |||
10,394,944 | |||||
Media — 0.7% | |||||
101,558 | Magnite, Inc. (a) | 1,536,573 | |||
Metals & Mining — 0.5% | |||||
9,711 | Materion Corp. | 1,156,969 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Mortgage REITs — 2.1% | |||||
122,461 | Apollo Commercial Real Estate Finance, Inc. | $1,445,040 | |||
47,144 | Chimera Investment Corp. | 296,064 | |||
57,632 | Franklin BSP Realty Trust, Inc. | 824,138 | |||
49,333 | MFA Financial, Inc. | 555,489 | |||
82,264 | New York Mortgage Trust, Inc. | 834,980 | |||
41,135 | PennyMac Mortgage Investment Trust | 525,705 | |||
19,598 | Two Harbors Investment Corp. | 262,809 | |||
4,744,225 | |||||
Oil, Gas & Consumable Fuels — 6.4% | |||||
78,232 | CNX Resources Corp. (a) | 1,595,933 | |||
70,350 | Comstock Resources, Inc. | 896,962 | |||
20,443 | CONSOL Energy, Inc. | 1,523,412 | |||
18,508 | CVR Energy, Inc. | 679,984 | |||
77,607 | Earthstone Energy, Inc., Class A (a) | 1,240,160 | |||
145,006 | Equitrans Midstream Corp. | 1,503,712 | |||
25,312 | Green Plains, Inc. (a) | 898,829 | |||
29,001 | International Seaways, Inc. | 1,243,853 | |||
31,560 | Kinetik Holdings, Inc. | 1,136,160 | |||
40,392 | Northern Oil and Gas, Inc. | 1,590,233 | |||
126,484 | Permian Resources Corp. | 1,478,598 | |||
31,064 | Sitio Royalties Corp., Class A | 849,290 | |||
14,637,126 | |||||
Personal Care Products — 0.7% | |||||
32,499 | Beauty Health (The) Co. (a) | 269,417 | |||
12,136 | elf Beauty, Inc. (a) | 1,416,514 | |||
1,685,931 | |||||
Pharmaceuticals — 1.8% | |||||
24,121 | Amphastar Pharmaceuticals, Inc. (a) | 1,463,904 | |||
12,226 | Corcept Therapeutics, Inc. (a) | 311,518 | |||
7,730 | Harmony Biosciences Holdings, Inc. (a) | 273,410 | |||
8,004 | Reata Pharmaceuticals, Inc., Class A (a) | 1,325,302 | |||
32,243 | Revance Therapeutics, Inc. (a) | 761,902 | |||
4,136,036 | |||||
Professional Services — 2.4% | |||||
26,018 | CBIZ, Inc. (a) | 1,376,092 | |||
16,326 | Huron Consulting Group, Inc. (a) | 1,543,950 | |||
11,193 | Korn Ferry | 589,647 | |||
2,456 | NV5 Global, Inc. (a) | 269,055 | |||
22,188 | Sterling Check Corp. (a) | 266,478 | |||
70,297 | Verra Mobility Corp. (a) | 1,475,534 | |||
5,520,756 |
Shares | Description | Value | |||
Real Estate Management & Development — 1.6% | |||||
55,477 | DigitalBridge Group, Inc. | $888,742 | |||
16,658 | Kennedy-Wilson Holdings, Inc. | 274,857 | |||
344,841 | Opendoor Technologies, Inc. (a) | 1,762,137 | |||
11,471 | St. Joe (The) Co. | 728,179 | |||
3,653,915 | |||||
Residential REITs — 0.6% | |||||
95,782 | Apartment Investment and Management Co., Class A | 797,864 | |||
34,549 | Veris Residential, Inc. (a) | 645,375 | |||
1,443,239 | |||||
Retail REITs — 0.5% | |||||
20,576 | SITE Centers Corp. | 289,093 | |||
36,976 | Tanger Factory Outlet Centers, Inc. | 865,608 | |||
1,154,701 | |||||
Semiconductors & Semiconductor Equipment — 1.3% | |||||
79,946 | Credo Technology Group Holding Ltd. (a) | 1,356,684 | |||
3,034 | Impinj, Inc. (a) | 202,125 | |||
8,619 | MaxLinear, Inc. (a) | 212,631 | |||
24,590 | PDF Solutions, Inc. (a) | 1,130,894 | |||
2,902,334 | |||||
Software — 10.7% | |||||
3,963 | Agilysys, Inc. (a) | 291,796 | |||
67,664 | Alkami Technology, Inc. (a) | 1,142,168 | |||
10,760 | Altair Engineering, Inc., Class A (a) | 806,354 | |||
8,053 | Appfolio, Inc., Class A (a) | 1,454,291 | |||
17,144 | Appian Corp., Class A (a) | 883,259 | |||
37,026 | Asana, Inc., Class A (a) | 898,991 | |||
11,465 | Blackbaud, Inc. (a) | 865,034 | |||
25,326 | Braze, Inc., Class A (a) | 1,151,320 | |||
11,740 | Clear Secure, Inc., Class A | 278,355 | |||
11,237 | CommVault Systems, Inc. (a) | 875,700 | |||
63,084 | Freshworks, Inc., Class A (a) | 1,177,148 | |||
10,390 | HashiCorp, Inc., Class A (a) | 307,648 | |||
26,462 | Intapp, Inc. (a) | 1,086,530 | |||
13,936 | Jamf Holding Corp. (a) | 302,690 | |||
53,318 | MeridianLink, Inc. (a) | 1,191,124 | |||
3,239 | MicroStrategy, Inc., Class A (a) | 1,418,293 | |||
15,682 | Model N, Inc. (a) | 522,524 | |||
56,632 | N-able, Inc. (a) | 796,812 | |||
27,094 | nCino, Inc. (a) | 876,491 | |||
14,046 | Progress Software Corp. | 843,603 | |||
26,496 | PROS Holdings, Inc. (a) | 1,006,848 | |||
26,410 | Q2 Holdings, Inc. (a) | 936,763 | |||
12,246 | Rapid7, Inc. (a) | 562,214 | |||
16,942 | RingCentral, Inc., Class A (a) | 700,721 |
Portfolio of Investments (Continued)
July 31, 2023
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Software (Continued) | |||||
50,028 | Samsara, Inc., Class A (a) | $1,397,782 | |||
18,015 | SentinelOne, Inc., Class A (a) | 300,310 | |||
80,189 | Sprinklr, Inc., Class A (a) | 1,125,854 | |||
20,807 | Varonis Systems, Inc. (a) | 597,161 | |||
95,558 | Zeta Global Holdings Corp., Class A (a) | 881,045 | |||
24,678,829 | |||||
Specialized REITs — 1.0% | |||||
17,437 | EPR Properties | 778,388 | |||
35,274 | Outfront Media, Inc. | 545,336 | |||
176,637 | Uniti Group, Inc. | 985,634 | |||
2,309,358 | |||||
Specialty Retail — 0.8% | |||||
13,095 | Boot Barn Holdings, Inc. (a) | 1,229,620 | |||
7,862 | Buckle (The), Inc. | 287,435 | |||
6,695 | Monro, Inc. | 245,372 | |||
1,762,427 | |||||
Textiles, Apparel & Luxury Goods — 0.6% | |||||
13,171 | Kontoor Brands, Inc. | 557,924 | |||
8,292 | Oxford Industries, Inc. | 894,292 | |||
1,452,216 | |||||
Tobacco — 0.4% | |||||
63,705 | Vector Group Ltd. | 835,810 | |||
Trading Companies & Distributors — 2.6% | |||||
121,078 | Custom Truck One Source, Inc. (a) | 837,860 | |||
43,786 | FTAI Aviation Ltd. | 1,410,347 | |||
20,033 | GMS, Inc. (a) | 1,476,232 | |||
24,241 | H&E Equipment Services, Inc. | 1,177,628 | |||
5,996 | McGrath RentCorp | 577,894 | |||
26,180 | Xometry, Inc., Class A (a) | 543,497 | |||
6,023,458 | |||||
Water Utilities — 0.2% | |||||
3,373 | Middlesex Water Co. | 271,256 | |||
3,880 | SJW Group | 273,385 | |||
544,641 | |||||
Wireless Telecommunication Services — 0.2% | |||||
32,599 | Gogo, Inc. (a) | 491,267 | |||
Total Common Stocks | 229,961,236 | ||||
(Cost $194,790,091) |
Principal Value | Description | Value | |||
REPURCHASE AGREEMENTS — 1.8% | |||||
$1,951,439 | Bank of America Corp., 5.28% (h), dated 07/31/23, due 08/01/23, with a maturity value of $1,951,725. Collateralized by U.S. Treasury Securities, interest rates of 0.13% to 0.38%, due 01/15/27 to 07/15/31. The value of the collateral including accrued interest is $1,990,468. (i) | $1,951,439 | |||
2,033,312 | JPMorgan Chase & Co., 5.28% (h), dated 07/31/23, due 08/01/23, with a maturity value of $2,033,610. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 7.63%, due 12/31/23 to 08/15/48. The value of the collateral including accrued interest is $2,073,978. (i) | 2,033,312 | |||
Total Repurchase Agreements | 3,984,751 | ||||
(Cost $3,984,751) | |||||
Total Investments — 101.7% | 233,945,987 | ||||
(Cost $198,774,842) | |||||
Net Other Assets and Liabilities — (1.7)% | (3,827,319 ) | ||||
Net Assets — 100.0% | $230,118,668 |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $4,006,363 and the total value of the collateral held by the Fund is $3,984,751. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
(e) | Restricted security as to resale, excluding Rule 144A securities (see Note2F - Restricted Securities in the Notes to Financial Statements). |
Portfolio of Investments (Continued)
July 31, 2023
(f) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At July 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
(g) | This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
(h) | Rate shown reflects yield as of July 31, 2023. |
(i) | This security serves as collateral for securities on loan. |
Valuation Inputs
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Life Sciences Tools & Services | $810,539 | $810,539 | $— | $— ** |
Other Industry Categories* | 229,150,697 | 229,150,697 | — | — |
Repurchase Agreements | 3,984,751 | — | 3,984,751 | — |
Total Investments | $233,945,987 | $229,961,236 | $3,984,751 | $— ** |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
Offsetting Assets and Liabilities
Securities Lending Agency Agreement | |
Total gross amount presented on the Statements of Assets and Liabilities(1) | $4,006,363 |
Non-cash Collateral(2) | (3,984,751 ) |
Net Amount | $21,612 |
(1) | The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
(2) | The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 31, 2023, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. |
Repurchase Agreements | |
Total gross amount presented on the Statements of Assets and Liabilities(3) | $3,984,751 |
Non-cash Collateral(4) | (3,984,751 ) |
Net Amount | $— |
(3) | The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
(4) | At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
Style Funds
Statements of Assets and Liabilities
July 31, 2023
First Trust Large Cap Core AlphaDEX® Fund (FEX) | First Trust Mid Cap Core AlphaDEX® Fund (FNX) | First Trust Small Cap Core AlphaDEX® Fund (FYX) | |
ASSETS: | |||
Investments, at value | $1,182,027,597 | $1,091,626,133 | $887,032,974 |
Cash | — | — | — |
Receivables: | |||
Dividends | 737,625 | 266,096 | 302,473 |
Investment securities sold | — | — | — |
Securities lending income | — | 4,142 | 28,898 |
Prepaid expenses | 6,669 | 6,410 | 6,153 |
Total Assets | 1,182,771,891 | 1,091,902,781 | 887,370,498 |
LIABILITIES: | |||
Payables: | |||
Investment advisory fees | 487,727 | 450,273 | 344,064 |
Shareholder reporting fees | 57,357 | 62,194 | 51,720 |
Licensing fees | 36,986 | 33,535 | 26,443 |
Audit and tax fees | 29,273 | 29,297 | 29,321 |
Trustees’ fees | 625 | 620 | 611 |
Investment securities purchased | — | — | — |
Capital shares redeemed | — | — | — |
Collateral for securities on loan | — | 10,292,070 | 14,057,676 |
Other liabilities | 216,758 | 200,877 | 157,745 |
Total Liabilities | 828,726 | 11,068,866 | 14,667,580 |
NET ASSETS | $1,181,943,165 | $1,080,833,915 | $872,702,918 |
NET ASSETS consist of: | |||
Paid-in capital | $1,314,414,148 | $1,225,144,811 | $1,157,657,728 |
Par value | 135,000 | 107,000 | 98,500 |
Accumulated distributable earnings (loss) | (132,605,983 ) | (144,417,896 ) | (285,053,310 ) |
NET ASSETS | $1,181,943,165 | $1,080,833,915 | $872,702,918 |
NET ASSET VALUE, per share | $87.55 | $101.01 | $88.60 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 13,500,002 | 10,700,002 | 9,850,002 |
Investments, at cost | $1,017,613,077 | $934,008,874 | $784,392,730 |
Securities on loan, at value | $— | $9,958,578 | $13,791,293 |
First Trust Large Cap Value AlphaDEX® Fund (FTA) | First Trust Large Cap Growth AlphaDEX® Fund (FTC) | First Trust Multi Cap Value AlphaDEX® Fund (FAB) | First Trust Multi Cap Growth AlphaDEX® Fund (FAD) | First Trust Mid Cap Value AlphaDEX® Fund (FNK) | First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
$1,254,294,819 | $1,036,427,292 | $175,705,710 | $181,266,723 | $241,589,449 | $276,690,389 |
— | — | — | 67 | 211,595 | 149,462 |
1,080,700 | 431,110 | 109,189 | 53,624 | 94,520 | 35,773 |
3,502,679 | — | — | — | — | — |
— | — | 1,498 | 6,387 | 1,095 | 275 |
6,678 | 6,449 | 4,951 | 4,896 | — | — |
1,258,884,876 | 1,036,864,851 | 175,821,348 | 181,331,697 | 241,896,659 | 276,875,899 |
519,196 | 431,219 | 73,251 | 76,499 | 137,017 | 159,535 |
66,885 | 54,857 | 13,767 | 12,806 | — | — |
40,249 | 31,871 | 6,087 | 6,008 | — | — |
29,188 | 29,180 | 29,408 | 29,291 | — | — |
631 | 619 | 585 | 586 | — | — |
2,090,551 | — | — | — | — | — |
3,509,036 | — | — | — | — | — |
— | — | 1,569,992 | 817,475 | 4,111,508 | — |
231,491 | 188,486 | 43,821 | 43,455 | — | — |
6,487,227 | 736,232 | 1,736,911 | 986,120 | 4,248,525 | 159,535 |
$1,252,397,649 | $1,036,128,619 | $174,084,437 | $180,345,577 | $237,648,134 | $276,716,364 |
$1,418,496,556 | $1,117,600,413 | $219,376,874 | $219,272,195 | $279,512,554 | $382,363,915 |
178,000 | 99,500 | 23,000 | 16,500 | 48,500 | 41,500 |
(166,276,907 ) | (81,571,294 ) | (45,315,437 ) | (38,943,118 ) | (41,912,920 ) | (105,689,051 ) |
$1,252,397,649 | $1,036,128,619 | $174,084,437 | $180,345,577 | $237,648,134 | $276,716,364 |
$70.36 | $104.13 | $75.69 | $109.30 | $49.00 | $66.68 |
17,800,002 | 9,950,002 | 2,300,002 | 1,650,002 | 4,850,002 | 4,150,002 |
$1,160,216,820 | $858,403,737 | $170,143,803 | $148,014,664 | $231,853,447 | $233,676,226 |
$— | $— | $1,517,033 | $822,208 | $3,978,407 | $— |
Style Funds
Statements of Assets and Liabilities (Continued)
July 31, 2023
First Trust Small Cap Value AlphaDEX® Fund (FYT) | First Trust Small Cap Growth AlphaDEX® Fund (FYC) | |
ASSETS: | ||
Investments, at value | $176,400,218 | $233,945,987 |
Cash | 117,993 | 198,330 |
Receivables: | ||
Dividends | 62,562 | 50,867 |
Investment securities sold | — | — |
Securities lending income | 4,067 | 39,655 |
Prepaid expenses | — | — |
Total Assets | 176,584,840 | 234,234,839 |
LIABILITIES: | ||
Payables: | ||
Investment advisory fees | 98,632 | 131,420 |
Shareholder reporting fees | — | — |
Licensing fees | — | — |
Audit and tax fees | — | — |
Trustees’ fees | — | — |
Investment securities purchased | — | — |
Capital shares redeemed | — | — |
Collateral for securities on loan | 2,349,793 | 3,984,751 |
Other liabilities | — | — |
Total Liabilities | 2,448,425 | 4,116,171 |
NET ASSETS | $174,136,415 | $230,118,668 |
NET ASSETS consist of: | ||
Paid-in capital | $242,912,620 | $377,331,707 |
Par value | 34,500 | 36,000 |
Accumulated distributable earnings (loss) | (68,810,705 ) | (147,249,039 ) |
NET ASSETS | $174,136,415 | $230,118,668 |
NET ASSET VALUE, per share | $50.47 | $63.92 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,450,002 | 3,600,002 |
Investments, at cost | $170,491,760 | $198,774,842 |
Securities on loan, at value | $2,276,137 | $4,006,363 |
Style Funds
Statements of Operations
For the Year Ended July 31, 2023
First Trust Large Cap Core AlphaDEX® Fund (FEX) | First Trust Mid Cap Core AlphaDEX® Fund (FNX) | First Trust Small Cap Core AlphaDEX® Fund (FYX) | |
INVESTMENT INCOME: | |||
Dividends | $25,100,147 | $17,637,074 | $14,024,756 |
Securities lending income (net of fees) | 127,250 | 308,455 | 189,180 |
Foreign withholding tax | (8,094 ) | (8,560 ) | (13,158 ) |
Total investment income | 25,219,303 | 17,936,969 | 14,200,778 |
EXPENSES: | |||
Investment advisory fees | 5,576,924 | 4,914,374 | 3,997,433 |
Accounting and administration fees | 548,418 | 493,417 | 404,154 |
Shareholder reporting fees | 144,514 | 156,676 | 126,407 |
Licensing fees | 119,003 | 105,752 | 87,413 |
Custodian fees | 98,179 | 81,670 | 64,666 |
Transfer agent fees | 52,876 | 48,804 | 39,974 |
Legal fees | 37,116 | 32,221 | 26,612 |
Audit and tax fees | 30,731 | 30,672 | 30,677 |
Listing fees | 8,761 | 8,760 | 7,687 |
Trustees’ fees and expenses | 8,494 | 8,412 | 8,277 |
Other expenses | 19,674 | 17,175 | 14,486 |
Total expenses | 6,644,690 | 5,897,933 | 4,807,786 |
NET INVESTMENT INCOME (LOSS) | 18,574,613 | 12,039,036 | 9,392,992 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments | (34,778,741 ) | (22,494,770 ) | (75,262,251 ) |
In-kind redemptions | 26,922,340 | 17,656,753 | 12,356,198 |
Foreign currency transactions | — | — | 13 |
Net realized gain (loss) | (7,856,401 ) | (4,838,017 ) | (62,906,040 ) |
Net change in unrealized appreciation (depreciation) on investments | 83,039,070 | 96,349,832 | 98,258,637 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 75,182,669 | 91,511,815 | 35,352,597 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $93,757,282 | $103,550,851 | $44,745,589 |
(a) | Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements). |
First Trust Large Cap Value AlphaDEX® Fund (FTA) | First Trust Large Cap Growth AlphaDEX® Fund (FTC) | First Trust Multi Cap Value AlphaDEX® Fund (FAB) | First Trust Multi Cap Growth AlphaDEX® Fund (FAD) | First Trust Mid Cap Value AlphaDEX® Fund (FNK) | First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
$34,381,108 | $14,477,076 | $4,919,810 | $2,240,800 | $5,835,330 | $2,574,685 |
127,865 | 102,939 | 23,137 | 73,943 | 11,851 | 169,505 |
— | (17,702 ) | (1,381 ) | (2,329 ) | (3,945 ) | — |
34,508,973 | 14,562,313 | 4,941,566 | 2,312,414 | 5,843,236 | 2,744,190 |
6,023,648 | 4,601,151 | 952,139 | 845,931 | 1,654,492 (a) | 1,827,178 (a) |
583,589 | 461,698 | 99,441 | 89,075 | — | — |
181,107 | 130,855 | 36,706 | 33,099 | — | — |
127,937 | 99,487 | 26,507 | 24,383 | — | — |
98,366 | 90,319 | 30,549 | 28,198 | — | — |
55,118 | 45,974 | 9,521 | 8,459 | — | — |
38,890 | 28,275 | 6,328 | 5,258 | — | — |
30,461 | 30,531 | 30,340 | 30,126 | — | — |
8,761 | 8,760 | 10,904 | 10,905 | — | — |
8,572 | 8,352 | 7,867 | 7,848 | — | — |
19,632 | 16,167 | 3,724 | 3,686 | — | — |
7,176,081 | 5,521,569 | 1,214,026 | 1,086,968 | 1,654,492 | 1,827,178 |
27,332,892 | 9,040,744 | 3,727,540 | 1,225,446 | 4,188,744 | 917,012 |
(31,948,032 ) | (59,501,602 ) | (16,263,319 ) | (13,422,766 ) | (16,769,768 ) | (22,122,982 ) |
32,770,040 | 12,927,562 | 11,278,585 | 2,485,355 | 9,640,294 | 5,898,537 |
— | — | — | 1 | — | — |
822,008 | (46,574,040 ) | (4,984,734 ) | (10,937,410 ) | (7,129,474 ) | (16,224,445 ) |
73,999,374 | 119,514,231 | 10,127,010 | 23,050,229 | 20,205,737 | 35,182,590 |
74,821,382 | 72,940,191 | 5,142,276 | 12,112,819 | 13,076,263 | 18,958,145 |
$102,154,274 | $81,980,935 | $8,869,816 | $13,338,265 | $17,265,007 | $19,875,157 |
Style Funds
Statements of Operations (Continued)
For the Year Ended July 31, 2023
First Trust Small Cap Value AlphaDEX® Fund (FYT) | First Trust Small Cap Growth AlphaDEX® Fund (FYC) | |
INVESTMENT INCOME: | ||
Dividends | $3,921,192 | $2,591,700 |
Securities lending income (net of fees) | 43,930 | 202,251 |
Foreign withholding tax | (2,241 ) | (4,553 ) |
Total investment income | 3,962,881 | 2,789,398 |
EXPENSES: | ||
Investment advisory fees | 1,309,156 (a) | 1,484,647 (a) |
Accounting and administration fees | — | — |
Shareholder reporting fees | — | — |
Licensing fees | — | — |
Custodian fees | — | — |
Transfer agent fees | — | — |
Legal fees | — | — |
Audit and tax fees | — | — |
Listing fees | — | — |
Trustees’ fees and expenses | — | — |
Other expenses | — | — |
Total expenses | 1,309,156 | 1,484,647 |
NET INVESTMENT INCOME (LOSS) | 2,653,725 | 1,304,751 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (28,189,984 ) | (40,755,973 ) |
In-kind redemptions | 3,740,518 | 4,239,717 |
Foreign currency transactions | — | 7 |
Net realized gain (loss) | (24,449,466 ) | (36,516,249 ) |
Net change in unrealized appreciation (depreciation) on investments | 21,066,812 | 48,228,720 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,382,654 ) | 11,712,471 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(728,929 ) | $13,017,222 |
(a) | Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements). |
Style Funds
Statements of Changes in Net Assets
First Trust Large Cap Core AlphaDEX® Fund (FEX) | First Trust Mid Cap Core AlphaDEX® Fund (FNX) | |||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $18,574,613 | $13,537,699 | $12,039,036 | $11,286,980 |
Net realized gain (loss) | (7,856,401 ) | 75,775,406 | (4,838,017 ) | 45,120,425 |
Net change in unrealized appreciation (depreciation) | 83,039,070 | (145,056,854 ) | 96,349,832 | (115,208,047 ) |
Net increase (decrease) in net assets resulting from operations | 93,757,282 | (55,743,749 ) | 103,550,851 | (58,800,642 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (18,821,067 ) | (12,780,587 ) | (12,566,002 ) | (11,863,187 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 138,119,024 | 117,700,738 | 97,294,441 | 292,232,090 |
Cost of shares redeemed | (135,841,602 ) | (134,355,401 ) | (82,940,240 ) | (273,376,258 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 2,277,422 | (16,654,663 ) | 14,354,201 | 18,855,832 |
Total increase (decrease) in net assets | 77,213,637 | (85,178,999 ) | 105,339,050 | (51,807,997 ) |
NET ASSETS: | ||||
Beginning of period | 1,104,729,528 | 1,189,908,527 | 975,494,865 | 1,027,302,862 |
End of period | $1,181,943,165 | $1,104,729,528 | $1,080,833,915 | $975,494,865 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 13,500,002 | 13,700,002 | 10,550,002 | 10,350,002 |
Shares sold | 1,700,000 | 1,350,000 | 1,050,000 | 3,050,000 |
Shares redeemed | (1,700,000 ) | (1,550,000 ) | (900,000 ) | 2,850,000 |
Shares outstanding, end of period | 13,500,002 | 13,500,002 | 10,700,002 | 10,550,002 |
First Trust Small Cap Core AlphaDEX® Fund (FYX) | First Trust Large Cap Value AlphaDEX® Fund (FTA) | First Trust Large Cap Growth AlphaDEX® Fund (FTC) | First Trust Multi Cap Value AlphaDEX® Fund (FAB) | ||||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 |
$9,392,992 | $10,602,007 | $27,332,892 | $20,518,915 | $9,040,744 | $3,595,317 | $3,727,540 | $2,694,333 |
(62,906,040 ) | 43,061,168 | 822,008 | 136,797,917 | (46,574,040 ) | 34,895,405 | (4,984,734 ) | 17,079,575 |
98,258,637 | (117,062,484 ) | 73,999,374 | (137,057,638 ) | 119,514,231 | (199,373,147 ) | 10,127,010 | (20,229,557 ) |
44,745,589 | (63,399,309 ) | 102,154,274 | 20,259,194 | 81,980,935 | (160,882,425 ) | 8,869,816 | (455,649 ) |
(9,564,637 ) | (9,613,591 ) | (26,595,703 ) | (19,926,672 ) | (9,713,938 ) | (2,104,295 ) | (3,751,808 ) | (2,513,652 ) |
103,154,985 | 296,774,587 | 214,903,371 | 590,343,175 | 117,908,249 | 146,870,105 | 102,313,823 | 101,835,616 |
(93,625,840 ) | (313,468,453 ) | (198,103,369 ) | (496,617,438 ) | (83,750,927 ) | (248,289,677 ) | (110,241,298 ) | (88,914,640 ) |
9,529,145 | (16,693,866 ) | 16,800,002 | 93,725,737 | 34,157,322 | (101,419,572 ) | (7,927,475 ) | 12,920,976 |
44,710,097 | (89,706,766 ) | 92,358,573 | 94,058,259 | 106,424,319 | (264,406,292 ) | (2,809,467 ) | 9,951,675 |
827,992,821 | 917,699,587 | 1,160,039,076 | 1,065,980,817 | 929,704,300 | 1,194,110,592 | 176,893,904 | 166,942,229 |
$872,702,918 | $827,992,821 | $1,252,397,649 | $1,160,039,076 | $1,036,128,619 | $929,704,300 | $174,084,437 | $176,893,904 |
9,800,002 | 10,050,002 | 17,550,002 | 16,200,002 | 9,600,002 | 10,600,002 | 2,500,002 | 2,350,002 |
1,250,000 | 3,300,000 | 3,250,000 | 8,700,000 | 1,250,000 | 1,350,000 | 1,400,000 | 1,400,000 |
(1,200,000 ) | (3,550,000 ) | (3,000,000 ) | (7,350,000 ) | (900,000 ) | (2,350,000 ) | (1,600,000 ) | (1,250,000 ) |
9,850,002 | 9,800,002 | 17,800,002 | 17,550,002 | 9,950,002 | 9,600,002 | 2,300,002 | 2,500,002 |
Style Funds
Statements of Changes in Net Assets (Continued)
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) | First Trust Mid Cap Value AlphaDEX® Fund (FNK) | |||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $1,225,446 | $871,124 | $4,188,744 | $3,202,980 |
Net realized gain (loss) | (10,937,410 ) | 265,415 | (7,129,474 ) | 10,435,310 |
Net change in unrealized appreciation (depreciation) | 23,050,229 | (37,297,428 ) | 20,205,737 | (18,825,308 ) |
Net increase (decrease) in net assets resulting from operations | 13,338,265 | (36,160,889 ) | 17,265,007 | (5,187,018 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (1,227,461 ) | (548,985 ) | (4,162,527 ) | (2,896,736 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 4,979,045 | 77,610,274 | 147,434,722 | 270,963,252 |
Cost of shares redeemed | (19,429,951 ) | (79,443,452 ) | (145,782,661 ) | (180,759,426 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (14,450,906 ) | (1,833,178 ) | 1,652,061 | 90,203,826 |
Total increase (decrease) in net assets | (2,340,102 ) | (38,543,052 ) | 14,754,541 | 82,120,072 |
NET ASSETS: | ||||
Beginning of period | 182,685,679 | 221,228,731 | 222,893,593 | 140,773,521 |
End of period | $180,345,577 | $182,685,679 | $237,648,134 | $222,893,593 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 1,800,002 | 1,850,002 | 5,000,002 | 3,150,002 |
Shares sold | 50,000 | 650,000 | 3,200,000 | 5,900,000 |
Shares redeemed | (200,000 ) | (700,000 ) | (3,350,000 ) | (4,050,000 ) |
Shares outstanding, end of period | 1,650,002 | 1,800,002 | 4,850,002 | 5,000,002 |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) | First Trust Small Cap Value AlphaDEX® Fund (FYT) | First Trust Small Cap Growth AlphaDEX® Fund (FYC) | |||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 |
$917,012 | $337,265 | $2,653,725 | $3,058,043 | $1,304,751 | $2,574,987 |
(16,224,445 ) | (16,773,148 ) | (24,449,466 ) | 9,493,179 | (36,516,249 ) | 3,931,586 |
35,182,590 | (52,725,413 ) | 21,066,812 | (21,876,108 ) | 48,228,720 | (53,232,094 ) |
19,875,157 | (69,161,296 ) | (728,929 ) | (9,324,886 ) | 13,017,222 | (46,725,521 ) |
(1,037,481 ) | — | (3,120,867 ) | (2,856,336 ) | (476,050 ) | (2,337,676 ) |
42,824,802 | 38,997,641 | 61,113,503 | 142,579,606 | 52,916,460 | 78,477,080 |
(66,575,110 ) | (151,779,469 ) | (106,848,902 ) | (175,667,971 ) | (37,065,594 ) | (222,514,171 ) |
(23,750,308 ) | (112,781,828 ) | (45,735,399 ) | (33,088,365 ) | 15,850,866 | (144,037,091 ) |
(4,912,632 ) | (181,943,124 ) | (49,585,195 ) | (45,269,587 ) | 28,392,038 | (193,100,288 ) |
281,628,996 | 463,572,120 | 223,721,610 | 268,991,197 | 201,726,630 | 394,826,918 |
$276,716,364 | $281,628,996 | $174,136,415 | $223,721,610 | $230,118,668 | $201,726,630 |
4,600,002 | 6,300,002 | 4,600,002 | 5,350,002 | 3,350,002 | 5,550,002 |
700,000 | 550,000 | 1,250,000 | 2,850,000 | 900,000 | 1,100,000 |
(1,150,000 ) | (2,250,000 ) | (2,400,000 ) | (3,600,000 ) | (650,000 ) | (3,300,000 ) |
4,150,002 | 4,600,002 | 3,450,002 | 4,600,002 | 3,600,002 | 3,350,002 |
Style Funds
Financial Highlights
For a share outstanding throughout each period
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $81.83 | $86.85 | $62.29 | $62.11 | $60.79 |
Income from investment operations: | |||||
Net investment income (loss) | 1.35 (a) | 1.01 | 0.71 | 0.93 | 0.77 |
Net realized and unrealized gain (loss) | 5.74 | (5.08 ) | 24.55 | 0.20 | 1.28 |
Total from investment operations | 7.09 | (4.07 ) | 25.26 | 1.13 | 2.05 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.37 ) | (0.95 ) | (0.70 ) | (0.95 ) | (0.73 ) |
Net asset value, end of period | $87.55 | $81.83 | $86.85 | $62.29 | $62.11 |
Total return (b) | 8.86 % | (4.73 )% | 40.77 % | 1.95 % | 3.48 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,181,943 | $1,104,730 | $1,189,909 | $924,980 | $1,434,679 |
Ratio of total expenses to average net assets | 0.60 % | 0.59 % | 0.59 % | 0.59 % | 0.60 % |
Ratio of net investment income (loss) to average net assets | 1.67 % | 1.16 % | 0.94 % | 1.49 % | 1.29 % |
Portfolio turnover rate (c) | 87 % | 87 % | 91 % | 104 % | 102 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $92.46 | $99.26 | $64.83 | $69.86 | $69.63 |
Income from investment operations: | |||||
Net investment income (loss) | 1.11 (a) | 1.08 | 0.70 | 0.85 | 0.63 |
Net realized and unrealized gain (loss) | 8.60 | (6.74 ) | 34.51 | (4.93 ) | 0.16 |
Total from investment operations | 9.71 | (5.66 ) | 35.21 | (4.08 ) | 0.79 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.16 ) | (1.14 ) | (0.78 ) | (0.95 ) | (0.56 ) |
Net asset value, end of period | $101.01 | $92.46 | $99.26 | $64.83 | $69.86 |
Total return (b) | 10.70 % | (5.74 )% | 54.62 % | (5.86 )% | 1.22 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,080,834 | $975,495 | $1,027,303 | $589,912 | $887,176 |
Ratio of total expenses to average net assets | 0.60 % | 0.59 % | 0.59 % | 0.60 % | 0.61 % |
Ratio of net investment income (loss) to average net assets | 1.22 % | 1.12 % | 0.79 % | 1.32 % | 0.94 % |
Portfolio turnover rate (c) | 106 % | 95 % | 114 % | 115 % | 114 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $84.49 | $91.31 | $55.98 | $61.84 | $66.80 |
Income from investment operations: | |||||
Net investment income (loss) | 0.95 (a) | 1.05 | 0.61 | 0.51 | 0.60 |
Net realized and unrealized gain (loss) | 4.13 | (6.92 ) | 35.35 | (5.75 ) | (4.98 ) |
Total from investment operations | 5.08 | (5.87 ) | 35.96 | (5.24 ) | (4.38 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.97 ) | (0.95 ) | (0.63 ) | (0.62 ) | (0.58 ) |
Net asset value, end of period | $88.60 | $84.49 | $91.31 | $55.98 | $61.84 |
Total return (b) | 6.16 % | (6.50 )% | 64.45 % | (8.55 )% | (6.52 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $872,703 | $827,993 | $917,700 | $397,470 | $602,918 |
Ratio of total expenses to average net assets | 0.60 % | 0.59 % | 0.60 % | 0.61 % | 0.62 % |
Ratio of net investment income (loss) to average net assets | 1.17 % | 1.18 % | 0.77 % | 0.93 % | 0.96 % |
Portfolio turnover rate (c) | 109 % | 94 % | 116 % | 123 % | 117 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Large Cap Value AlphaDEX® Fund (FTA)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $66.10 | $65.80 | $46.39 | $52.79 | $54.07 |
Income from investment operations: | |||||
Net investment income (loss) | 1.50 (a) | 1.21 | 1.01 | 1.11 | 1.02 |
Net realized and unrealized gain (loss) | 4.22 | 0.27 (b) | 19.41 | (6.28 ) | (1.43 ) |
Total from investment operations | 5.72 | 1.48 | 20.42 | (5.17 ) | (0.41 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (1.46 ) | (1.18 ) | (1.01 ) | (1.23 ) | (0.87 ) |
Net asset value, end of period | $70.36 | $66.10 | $65.80 | $46.39 | $52.79 |
Total return (c) | 8.90 % | 2.24 % | 44.43 % | (9.84 )% | (0.65 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,252,398 | $1,160,039 | $1,065,981 | $617,016 | $1,166,569 |
Ratio of total expenses to average net assets | 0.60 % | 0.59 % | 0.59 % | 0.60 % | 0.60 % |
Ratio of net investment income (loss) to average net assets | 2.27 % | 1.79 % | 1.76 % | 2.12 % | 1.99 % |
Portfolio turnover rate (d) | 80 % | 75 % | 91 % | 94 % | 96 % |
(a) | Based on average shares outstanding. |
(b) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $96.84 | $112.65 | $82.09 | $71.35 | $66.91 |
Income from investment operations: | |||||
Net investment income (loss) | 0.93 (a) | 0.37 | (0.07 ) | 0.55 | 0.37 |
Net realized and unrealized gain (loss) | 7.36 | (15.96 ) | 30.67 | 10.80 | 4.39 |
Total from investment operations | 8.29 | (15.59 ) | 30.60 | 11.35 | 4.76 |
Distributions paid to shareholders from: | |||||
Net investment income | (1.00 ) | (0.22 ) | (0.04 ) | (0.61 ) | (0.32 ) |
Net asset value, end of period | $104.13 | $96.84 | $112.65 | $82.09 | $71.35 |
Total return (b) | 8.71 % | (13.84 )% | 37.30 % | 16.10 % | 7.16 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,036,129 | $929,704 | $1,194,111 | $989,147 | $1,041,726 |
Ratio of total expenses to average net assets | 0.60 % | 0.59 % | 0.59 % | 0.60 % | 0.61 % |
Ratio of net investment income (loss) to average net assets | 0.98 % | 0.32 % | (0.07 )% | 0.76 % | 0.56 % |
Portfolio turnover rate (c) | 127 % | 121 % | 116 % | 138 % | 132 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $70.76 | $71.04 | $46.72 | $54.39 | $57.35 |
Income from investment operations: | |||||
Net investment income (loss) | 1.38 (a) | 1.20 | 0.84 | 0.95 | 0.92 |
Net realized and unrealized gain (loss) | 4.94 | (0.35 ) | 24.34 | (7.54 ) | (3.04 ) |
Total from investment operations | 6.32 | 0.85 | 25.18 | (6.59 ) | (2.12 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (1.39 ) | (1.13 ) | (0.86 ) | (1.08 ) | (0.84 ) |
Net asset value, end of period | $75.69 | $70.76 | $71.04 | $46.72 | $54.39 |
Total return (b) | 9.19 % | 1.20 % | 54.35 % | (12.24 )% | (3.62 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $174,084 | $176,894 | $166,942 | $51,387 | $84,301 |
Ratio of total expenses to average net assets | 0.64 % | 0.66 % | 0.69 % | 0.74 % | 0.73 % |
Ratio of net expenses to average net assets | 0.64 % | 0.66 % | 0.69 % | 0.70 % | 0.70 % |
Ratio of net investment income (loss) to average net assets | 1.96 % | 1.64 % | 1.43 % | 1.86 % | 1.69 % |
Portfolio turnover rate (c) | 85 % | 76 % | 92 % | 98 % | 96 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $101.49 | $119.58 | $83.11 | $75.90 | $72.71 |
Income from investment operations: | |||||
Net investment income (loss) | 0.72 (a) | 0.46 | (0.11 ) | 0.42 | 0.22 |
Net realized and unrealized gain (loss) | 7.81 | (18.27 ) | 36.71 | 7.27 | 3.14 |
Total from investment operations | 8.53 | (17.81 ) | 36.60 | 7.69 | 3.36 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.72 ) | (0.28 ) | (0.13 ) | (0.48 ) | (0.17 ) |
Net asset value, end of period | $109.30 | $101.49 | $119.58 | $83.11 | $75.90 |
Total return (b) | 8.50 % | (14.91 )% | 44.10 % | 10.23 % | 4.65 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $180,346 | $182,686 | $221,229 | $170,367 | $185,955 |
Ratio of total expenses to average net assets | 0.64 % | 0.63 % | 0.63 % | 0.63 % | 0.66 % |
Ratio of net investment income (loss) to average net assets | 0.72 % | 0.39 % | (0.09 )% | 0.56 % | 0.31 % |
Portfolio turnover rate (c) | 125 % | 115 % | 104 % | 123 % | 130 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $44.58 | $44.69 | $27.71 | $34.67 | $36.71 |
Income from investment operations: | |||||
Net investment income (loss) | 0.78 (a) | 0.74 | 0.54 | 0.63 | 0.51 |
Net realized and unrealized gain (loss) | 4.42 | (0.16 ) | 16.98 | (6.86 ) | (2.10 ) |
Total from investment operations | 5.20 | 0.58 | 17.52 | (6.23 ) | (1.59 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.78 ) | (0.69 ) | (0.54 ) | (0.73 ) | (0.45 ) |
Net asset value, end of period | $49.00 | $44.58 | $44.69 | $27.71 | $34.67 |
Total return (b) | 11.95 % | 1.31 % | 63.76 % | (18.19 )% | (4.26 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $237,648 | $222,894 | $140,774 | $34,636 | $55,473 |
Ratio of total expenses to average net assets | 0.70 % | 0.70 % | 0.70 % | 0.70 % | 0.70 % |
Ratio of net investment income (loss) to average net assets | 1.77 % | 1.63 % | 1.33 % | 2.04 % | 1.49 % |
Portfolio turnover rate (c) | 102 % | 84 % | 102 % | 107 % | 113 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $61.22 | $73.58 | $51.23 | $46.59 | $43.80 |
Income from investment operations: | |||||
Net investment income (loss) | 0.21 (a) | 0.01 | (0.18 ) | 0.11 | 0.04 |
Net realized and unrealized gain (loss) | 5.49 | (12.37 ) | 22.69 | 4.67 | 2.77 |
Total from investment operations | 5.70 | (12.36 ) | 22.51 | 4.78 | 2.81 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.24 ) | — | (0.16 ) | (0.14 ) | (0.02 ) |
Net asset value, end of period | $66.68 | $61.22 | $73.58 | $51.23 | $46.59 |
Total return (b) | 9.37 % | (16.80 )% | 44.02 % | 10.28 % | 6.43 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $276,716 | $281,629 | $463,572 | $338,149 | $309,826 |
Ratio of total expenses to average net assets | 0.70 % | 0.70 % | 0.70 % | 0.70 % | 0.70 % |
Ratio of net investment income (loss) to average net assets | 0.35 % | 0.09 % | (0.24 )% | 0.23 % | 0.09 % |
Portfolio turnover rate (c) | 142 % | 136 % | 138 % | 135 % | 144 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $48.64 | $50.28 | $30.78 | $34.66 | $38.98 |
Income from investment operations: | |||||
Net investment income (loss) | 0.66 (a) | 0.67 | 0.45 | 0.38 | 0.57 |
Net realized and unrealized gain (loss) | 1.96 (b) | (1.69 ) | 19.52 | (3.75 ) | (4.36 ) |
Total from investment operations | 2.62 | (1.02 ) | 19.97 | (3.37 ) | (3.79 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.79 ) | (0.62 ) | (0.47 ) | (0.51 ) | (0.53 ) |
Net asset value, end of period | $50.47 | $48.64 | $50.28 | $30.78 | $34.66 |
Total return (c) | 5.61 % | (2.06 )% | 65.22 % | (9.83 )% | (9.69 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $174,136 | $223,722 | $268,991 | $46,176 | $60,659 |
Ratio of total expenses to average net assets | 0.70 % | 0.70 % | 0.70 % | 0.70 % | 0.70 % |
Ratio of net investment income (loss) to average net assets | 1.42 % | 1.29 % | 1.08 % | 1.18 % | 1.58 % |
Portfolio turnover rate (d) | 110 % | 90 % | 109 % | 120 % | 120 % |
(a) | Based on average shares outstanding. |
(b) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $60.22 | $71.14 | $44.46 | $46.87 | $48.79 |
Income from investment operations: | |||||
Net investment income (loss) | 0.36 (a) | 0.54 | 0.03 | 0.17 | 0.02 |
Net realized and unrealized gain (loss) | 3.47 | (10.99 ) | 26.72 | (2.40 ) | (1.93 ) |
Total from investment operations | 3.83 | (10.45 ) | 26.75 | (2.23 ) | (1.91 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.13 ) | (0.47 ) | (0.07 ) | (0.18 ) | (0.01 ) |
Net asset value, end of period | $63.92 | $60.22 | $71.14 | $44.46 | $46.87 |
Total return (b) | 6.38 % | (14.81 )% | 60.24 % | (4.79 )% | (3.90 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $230,119 | $201,727 | $394,827 | $146,704 | $278,851 |
Ratio of total expenses to average net assets | 0.70 % | 0.70 % | 0.70 % | 0.70 % | 0.70 % |
Ratio of net investment income (loss) to average net assets | 0.62 % | 0.88 % | 0.02 % | 0.44 % | 0.04 % |
Portfolio turnover rate (c) | 140 % | 132 % | 151 % | 137 % | 152 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Style Funds
July 31, 2023
First Trust Large Cap Core AlphaDEX® Fund – (ticker “FEX”) |
First Trust Mid Cap Core AlphaDEX® Fund – (ticker “FNX”) |
First Trust Small Cap Core AlphaDEX® Fund – (ticker “FYX”) |
First Trust Large Cap Value AlphaDEX® Fund – (ticker “FTA”) |
First Trust Large Cap Growth AlphaDEX® Fund – (ticker “FTC”) |
First Trust Multi Cap Value AlphaDEX® Fund – (ticker “FAB”) |
First Trust Multi Cap Growth AlphaDEX® Fund – (ticker “FAD”) |
First Trust Mid Cap Value AlphaDEX® Fund – (ticker “FNK”) |
First Trust Mid Cap Growth AlphaDEX® Fund – (ticker “FNY”) |
First Trust Small Cap Value AlphaDEX® Fund – (ticker “FYT”) |
First Trust Small Cap Growth AlphaDEX® Fund – (ticker “FYC”) |
Fund | Index |
First Trust Large Cap Core AlphaDEX® Fund | Nasdaq AlphaDEX® Large Cap Core Index |
First Trust Mid Cap Core AlphaDEX® Fund | Nasdaq AlphaDEX® Mid Cap Core Index |
First Trust Small Cap Core AlphaDEX® Fund | Nasdaq AlphaDEX® Small Cap Core Index |
First Trust Large Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Large Cap Value Index |
First Trust Large Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Large Cap Growth Index |
First Trust Multi Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Multi Cap Value Index |
First Trust Multi Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Multi Cap Growth Index |
First Trust Mid Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Mid Cap Value Index |
First Trust Mid Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Mid Cap Growth Index |
First Trust Small Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Small Cap Value Index |
First Trust Small Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Small Cap Growth Index |
Style Funds
July 31, 2023
Style Funds
July 31, 2023
Style Funds
July 31, 2023
Security | Acquisition Date | Shares | Current Price | Carrying Cost | Value | % of Net Assets |
FAD | ||||||
OmniAb, Inc. - 12.5 Earnout Shares | 11/02/2022 | 162 | $0.00 | $0 | $0 | 0.00 % |
OmniAb, Inc. - 15 Earnout Shares | 11/02/2022 | 162 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % |
Style Funds
July 31, 2023
Security | Acquisition Date | Shares | Current Price | Carrying Cost | Value | % of Net Assets |
FYC | ||||||
OmniAb, Inc. - 12.5 Earnout Shares | 11/02/2022 | 1,080 | $0.00 | $0 | $0 | 0.00 % |
OmniAb, Inc. - 15 Earnout Shares | 11/02/2022 | 1,080 | 0.00 | 0 | 0 | 0.00 |
$0 | $0 | 0.00 % |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Large Cap Core AlphaDEX® Fund | $18,821,067 | $— | $— |
First Trust Mid Cap Core AlphaDEX® Fund | 12,566,002 | — | — |
First Trust Small Cap Core AlphaDEX® Fund | 9,564,637 | — | — |
First Trust Large Cap Value AlphaDEX® Fund | 26,595,703 | — | — |
First Trust Large Cap Growth AlphaDEX® Fund | 9,713,938 | — | — |
First Trust Multi Cap Value AlphaDEX® Fund | 3,751,808 | — | — |
First Trust Multi Cap Growth AlphaDEX® Fund | 1,227,461 | — | — |
First Trust Mid Cap Value AlphaDEX® Fund | 4,162,527 | — | — |
First Trust Mid Cap Growth AlphaDEX® Fund | 1,037,481 | — | — |
First Trust Small Cap Value AlphaDEX® Fund | 3,120,867 | — | — |
First Trust Small Cap Growth AlphaDEX® Fund | 476,050 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Large Cap Core AlphaDEX® Fund | $12,780,587 | $— | $— |
First Trust Mid Cap Core AlphaDEX® Fund | 11,863,187 | — | — |
First Trust Small Cap Core AlphaDEX® Fund | 9,613,591 | — | — |
First Trust Large Cap Value AlphaDEX® Fund | 19,926,672 | — | — |
First Trust Large Cap Growth AlphaDEX® Fund | 2,104,295 | — | — |
First Trust Multi Cap Value AlphaDEX® Fund | 2,513,652 | — | — |
First Trust Multi Cap Growth AlphaDEX® Fund | 548,985 | — | — |
First Trust Mid Cap Value AlphaDEX® Fund | 2,896,736 | — | — |
First Trust Mid Cap Growth AlphaDEX® Fund | — | — | — |
First Trust Small Cap Value AlphaDEX® Fund | 2,856,336 | — | — |
First Trust Small Cap Growth AlphaDEX® Fund | 2,337,676 | — | — |
Style Funds
July 31, 2023
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Large Cap Core AlphaDEX® Fund | $1,560,433 | $(292,986,503 ) | $158,820,087 |
First Trust Mid Cap Core AlphaDEX® Fund | 1,004,086 | (297,476,802 ) | 152,054,820 |
First Trust Small Cap Core AlphaDEX® Fund | 168,719 | (381,698,439 ) | 96,476,410 |
First Trust Large Cap Value AlphaDEX® Fund | 2,995,203 | (253,541,569 ) | 84,269,459 |
First Trust Large Cap Growth AlphaDEX® Fund | 445,136 | (259,634,595 ) | 177,618,165 |
First Trust Multi Cap Value AlphaDEX® Fund | 331,905 | (49,210,255 ) | 3,562,913 |
First Trust Multi Cap Growth AlphaDEX® Fund | 15,162 | (72,152,962 ) | 33,194,682 |
First Trust Mid Cap Value AlphaDEX® Fund | 448,808 | (50,016,603 ) | 7,654,875 |
First Trust Mid Cap Growth AlphaDEX® Fund | — | (148,424,420 ) | 42,735,369 |
First Trust Small Cap Value AlphaDEX® Fund | — | (73,238,940 ) | 4,428,235 |
First Trust Small Cap Growth AlphaDEX® Fund | 94,438 | (182,271,213 ) | 34,927,736 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Large Cap Core AlphaDEX® Fund | $292,986,503 |
First Trust Mid Cap Core AlphaDEX® Fund | 297,476,802 |
First Trust Small Cap Core AlphaDEX® Fund | 381,698,439 |
First Trust Large Cap Value AlphaDEX® Fund | 253,541,569 |
First Trust Large Cap Growth AlphaDEX® Fund | 259,634,595 |
First Trust Multi Cap Value AlphaDEX® Fund | 49,210,255 |
First Trust Multi Cap Growth AlphaDEX® Fund | 72,152,962 |
First Trust Mid Cap Value AlphaDEX® Fund | 50,016,603 |
First Trust Mid Cap Growth AlphaDEX® Fund | 148,424,420 |
First Trust Small Cap Value AlphaDEX® Fund | 73,238,940 |
First Trust Small Cap Growth AlphaDEX® Fund | 182,271,213 |
Style Funds
July 31, 2023
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-In Capital | |
First Trust Large Cap Core AlphaDEX® Fund | $— | $(23,842,871 ) | $23,842,871 |
First Trust Mid Cap Core AlphaDEX® Fund | 57,369 | (16,358,607 ) | 16,301,238 |
First Trust Small Cap Core AlphaDEX® Fund | (1,465 ) | (10,454,025 ) | 10,455,490 |
First Trust Large Cap Value AlphaDEX® Fund | — | (29,236,942 ) | 29,236,942 |
First Trust Large Cap Growth AlphaDEX® Fund | — | (11,453,842 ) | 11,453,842 |
First Trust Multi Cap Value AlphaDEX® Fund | (3,593 ) | (9,582,110 ) | 9,585,703 |
First Trust Multi Cap Growth AlphaDEX® Fund | 1,813 | (2,381,799 ) | 2,379,986 |
First Trust Mid Cap Value AlphaDEX® Fund | (36,861 ) | (7,241,752 ) | 7,278,613 |
First Trust Mid Cap Growth AlphaDEX® Fund | 131,998 | (5,521,663 ) | 5,389,665 |
First Trust Small Cap Value AlphaDEX® Fund | 74,207 | (1,467,288 ) | 1,393,081 |
First Trust Small Cap Growth AlphaDEX® Fund | (1,661 ) | (3,181,628 ) | 3,183,289 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Large Cap Core AlphaDEX® Fund | $1,023,207,510 | $190,061,106 | $(31,241,019 ) | $158,820,087 |
First Trust Mid Cap Core AlphaDEX® Fund | 939,571,313 | 190,002,190 | (37,947,370 ) | 152,054,820 |
First Trust Small Cap Core AlphaDEX® Fund | 790,556,564 | 138,305,273 | (41,828,863 ) | 96,476,410 |
First Trust Large Cap Value AlphaDEX® Fund | 1,170,025,360 | 136,424,058 | (52,154,599 ) | 84,269,459 |
First Trust Large Cap Growth AlphaDEX® Fund | 858,809,127 | 184,778,389 | (7,160,224 ) | 177,618,165 |
First Trust Multi Cap Value AlphaDEX® Fund | 172,142,797 | 15,811,946 | (12,249,033 ) | 3,562,913 |
First Trust Multi Cap Growth AlphaDEX® Fund | 148,072,041 | 35,073,392 | (1,878,710 ) | 33,194,682 |
First Trust Mid Cap Value AlphaDEX® Fund | 233,934,574 | 23,989,693 | (16,334,818 ) | 7,654,875 |
First Trust Mid Cap Growth AlphaDEX® Fund | 233,955,020 | 46,987,335 | (4,251,966 ) | 42,735,369 |
First Trust Small Cap Value AlphaDEX® Fund | 171,971,983 | 19,580,289 | (15,152,054 ) | 4,428,235 |
First Trust Small Cap Growth AlphaDEX® Fund | 199,018,251 | 38,975,112 | (4,047,376 ) | 34,927,736 |
Style Funds
July 31, 2023
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.7000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.6300 % |
Fund net assets greater than $15 billion | 0.5950 % |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.5000 % |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.4875 % |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.4750 % |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.4625 % |
Fund net assets greater than $10 billion up to and including $15 billion | 0.4500 % |
Fund net assets greater than $15 billion | 0.4250 % |
Style Funds
July 31, 2023
Purchases | Sales | |
First Trust Large Cap Core AlphaDEX® Fund | $970,300,133 | $968,560,104 |
First Trust Mid Cap Core AlphaDEX® Fund | 1,044,136,294 | 1,042,820,386 |
First Trust Small Cap Core AlphaDEX® Fund | 875,213,119 | 872,716,500 |
First Trust Large Cap Value AlphaDEX® Fund | 967,833,891 | 964,376,764 |
First Trust Large Cap Growth AlphaDEX® Fund | 1,169,642,025 | 1,169,249,154 |
First Trust Multi Cap Value AlphaDEX® Fund | 160,473,241 | 160,011,222 |
First Trust Multi Cap Growth AlphaDEX® Fund | 212,309,172 | 211,964,874 |
First Trust Mid Cap Value AlphaDEX® Fund | 242,479,771 | 242,005,533 |
First Trust Mid Cap Growth AlphaDEX® Fund | 373,149,365 | 372,678,021 |
First Trust Small Cap Value AlphaDEX® Fund | 205,533,531 | 204,750,408 |
First Trust Small Cap Growth AlphaDEX® Fund | 299,178,425 | 298,016,348 |
Purchases | Sales | |
First Trust Large Cap Core AlphaDEX® Fund | $137,818,189 | $135,585,152 |
First Trust Mid Cap Core AlphaDEX® Fund | 97,088,361 | 82,762,751 |
First Trust Small Cap Core AlphaDEX® Fund | 102,993,842 | 93,502,273 |
First Trust Large Cap Value AlphaDEX® Fund | 214,210,340 | 197,330,398 |
First Trust Large Cap Growth AlphaDEX® Fund | 117,809,169 | 83,676,174 |
First Trust Multi Cap Value AlphaDEX® Fund | 102,162,955 | 110,099,072 |
First Trust Multi Cap Growth AlphaDEX® Fund | 4,965,425 | 19,366,502 |
First Trust Mid Cap Value AlphaDEX® Fund | 147,086,859 | 145,408,016 |
First Trust Mid Cap Growth AlphaDEX® Fund | 42,743,817 | 66,420,667 |
Style Funds
July 31, 2023
Purchases | Sales | |
First Trust Small Cap Value AlphaDEX® Fund | $60,986,470 | $106,674,082 |
First Trust Small Cap Growth AlphaDEX® Fund | 52,816,081 | 36,961,671 |
Style Funds
July 31, 2023
September 22, 2023
Style Funds
July 31, 2023 (Unaudited)
Dividends Received Deduction | |
First Trust Large Cap Core AlphaDEX® Fund | 100.00 % |
First Trust Mid Cap Core AlphaDEX® Fund | 99.92 % |
First Trust Small Cap Core AlphaDEX® Fund | 100.00 % |
First Trust Large Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Large Cap Growth AlphaDEX® Fund | 100.00 % |
First Trust Multi Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Multi Cap Growth AlphaDEX® Fund | 99.51 % |
First Trust Mid Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Mid Cap Growth AlphaDEX® Fund | 100.00 % |
First Trust Small Cap Value AlphaDEX® Fund | 99.96 % |
First Trust Small Cap Growth AlphaDEX® Fund | 100.00 % |
Qualified Dividend Income | |
First Trust Large Cap Core AlphaDEX® Fund | 100.00 % |
First Trust Mid Cap Core AlphaDEX® Fund | 100.00 % |
First Trust Small Cap Core AlphaDEX® Fund | 100.00 % |
First Trust Large Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Large Cap Growth AlphaDEX® Fund | 100.00 % |
First Trust Multi Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Multi Cap Growth AlphaDEX® Fund | 100.00 % |
First Trust Mid Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Mid Cap Growth AlphaDEX® Fund | 100.00 % |
First Trust Small Cap Value AlphaDEX® Fund | 100.00 % |
First Trust Small Cap Growth AlphaDEX® Fund | 100.00 % |
Style Funds
July 31, 2023 (Unaudited)
Style Funds
July 31, 2023 (Unaudited)
Style Funds
July 31, 2023 (Unaudited)
Style Funds
July 31, 2023 (Unaudited)
First Trust Large Cap Core AlphaDEX® Fund (FEX) |
First Trust Mid Cap Core AlphaDEX® Fund (FNX) |
First Trust Small Cap Core AlphaDEX® Fund (FYX) |
First Trust Large Cap Value AlphaDEX® Fund (FTA) |
First Trust Large Cap Growth AlphaDEX® Fund (FTC) |
First Trust Multi Cap Value AlphaDEX® Fund (FAB) |
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) |
First Trust Mid Cap Value AlphaDEX® Fund (FNK) |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
Style Funds
July 31, 2023 (Unaudited)
First Trust Small Cap Value AlphaDEX® Fund (FYT) |
First Trust Small Cap Growth AlphaDEX® Fund (FYC) |
Style Funds
July 31, 2023 (Unaudited)
Style Funds
July 31, 2023 (Unaudited)
Style Funds
July 31, 2023 (Unaudited)
July 31, 2023 (Unaudited)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 238 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 238 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee, Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 238 | None |
July 31, 2023 (Unaudited)
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 - present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
July 31, 2023 (Unaudited)
Style Funds
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $400,000 for the fiscal year ended July 31, 2022 and $400,000 for the fiscal year ended July 31, 2023.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
Audit-Related Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $223,261 for the fiscal year ended July 31, 2022 and $175,323 for the fiscal year ended July 31, 2023. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(d) All Other Fees (Registrant) -- All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: | Advisor and Distributor: | ||||
(b) | 0% | (b) | 0% | ||
(c) | 0% | (c) | 0% | ||
(d) | 0% | (d) | 0% |
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended July 31, 2022, were $223,261 for the registrant, $16,500 for the registrant’s investment advisor and $29,500 for the registrant’s distributor, and for the fiscal year ended July 31, 2023 were $175,323 for the registrant, $31,000 for the registrant’s investment advisor and $45,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded AlphaDEX® Fund |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | October 6, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | October 6, 2023 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | October 6, 2023 |
* Print the name and title of each signing officer under his or her signature.